I know that most lubavitchers won't learn Daf Yomi.
Is there any Sicha (please bring sources) which says if one should or shouldn't learn it?
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I heard (no source) that when asked once the Rebbe said Daf Yomi is not a "davar Hashaveh lcol nefesh" (something that would apply equally to everyone) unlike the shiurim in Chumash, Tehilim, Tanya and Rambam.
However, it should also be mentioned that Lubavtich has its own (older) tradition from the Alter Rebbe (subsequently printed in Igros Kodesh of Tanya) about dividing and partnering everyone in learning Gemara, where everyone takes a different misechta and learns it through the year (this division was initially done on Yud Tes Kisleiv, subsequently moved to Chof Dalet Tamuz, and since moved back to Yud Tes Kisleiv), where everyone in the group becomes a partner and with their learning their part, they become a partner in the whole Shas every year.
Promoting Daf Yomi would be promoting a different system where one person would have difficulty doing both and the Rebbe very much promoted the maintenance and strengthening of Chabad customs among Chabad Chassidim.
Of course the Siyum Hashas was a wonderful thing, and although I avoid trying to project what someone would have said as it tends to just be wishful thinking on the part of the speaker, it is quite imaginable that the Rebbe's reaction to the Siyum would have been to praise it and point that it is a lesson to strengthen and encourage the custom of dividing Shas according to the Alter Rebbe's system as well.
Since Daf Yomi is printed in the weekly Dvar Malchus booklet - It's very unlikely that the Rebbe opposed learning it.
While the Rebbe did not openly endorse Daf Yomi, there is no sicha of (because this is the antithesis of) the Rebbe telling Chassidic dafka not to learn Gemara in this way.
The fact that there were a dozen or so high profile Rabbonim representing Chabad at the recent Agudath Israel of America daf yomi siyum, is clear that Lubavitch supports any and all forms of Torah learning:
COLlive.com has learned that Philanthropist R' Sholom Yehuda Rechnitz, a donor and emcee of the celebration, personally invited Rabbi Yehuda Krinsky, the Rebbe's Mazkir and Chairman of Merkos L'inyonei Chincuh, to join.
Rabbi Krinsky, Rabbi Moshe Bogomilsky, were seated on the second row on the dais which featured some 500 rabbonim and roshei yeshiva.
Other Chabad dignitaries that were identified by one attendee on stage were 770 Rosh Yeshiva Rabbi Zalman Labkowsky, Dayan Rabbi Shlomo Segal, Chevra Shas shul Rabbi Mottel Gurary, and Congregation Beis Shmuel Rabbi YY Jacobson.
In the large crowd were spotted Rabbi Chaim Miller, author of Kol Menachem publications; Long Island Shliach Rabbi Anshelle Perl who gives a Gemara shiur at Chabad of Mineola; and R' Shlomo Aron Holtzberg who gives a Daf Yomi shiur at Congregation Anash at 770 Montgomery Street.
I recalled reading somewhere that at least one member of the Crown Heights Beis Din was also.
There are Lubavitchers who do Daf Yomi, but I assume your question is why it isn't emphasized to learn Daf Yomi in Chabad. I believe the answer to your question is that Chabad has its own daily studies to do, like chumash, tehillim, Tanya, rambam. When a Lubavitcher does all those and has extra time, then he goes on to Daf Yomi, but he starts off with his own minhag which is the primary focus
I question the basis for saying that most Lubavichers don't learn Daf Yomi. If, as indicated in the comments, this is based on your years in Yeshivah, then you've answered your own question: Daf Yomi is not part of any mainstream Yeshivah curriculum. It is, rather, a tool to encourage widespread Talmud Torah among the public not (or no longer) in Yeshivah.
You can most certainly find Daf Yomi classes taught in Chabad houses all around the world.
As a Toras Emes alumnus I can say that we don't participate in it mainly because it was invented by Aguda leaders who were not in favor of the central importance of Lubavitch in the Jewish world.
It would seem that all Chabad learning cycles are limited to 1 year or less (save for one exception). Keeping to a yearly cycle would seem logical as most of Judaism revolved around the a yearly cycle.
Chumash - follows the parsha of the week and completes in 1 year
Tehilim - Finished monthly
Tanya - Was divided by the Rebbe Rayatz to be learned on a yearly cycle
Hayom Yom - A 1 year calendar (the 1st book published by the Rebbe).
Torah Ohr/Likutei Torah - Also known as the "Chassidish Parsha" is formatted around the parsha of the week. So technically it can be learned in 1 year. (if I remember correctly, when the Rebbe gave out L'chaim at shabbos Farbrengens to those who learned the Chassidishe Parsha, only those that actually finished the portion would have the audacity to count themselves in)
Rambam - The Rebbe instituted a learning cycle for the Rambam to be finished in 1 year, by learning 3 chapters a day. The Rebbe also said that if that is not possible for someone to learn 3 chapter they can learn 1 chapter and finish in 3 years. This seems to be the only exception for a learning cycle to be longer than a year.
Sefer Hamitzvos - Learning sefer Hamitzvos - for those that do not learn the above mentioned Rambam cycle (such as children). This is a yearly cycle as the mitzvos of the day follow those that are learned in the 3 chapter cycle above.
Tanach - In Hayom Yom - 19 adar 1 - it states that "ordinary" Chassidim finished the entire Tanach every 3 months.
Chalukas Hashas - As explained in a previous answer, the corpus of the Talmud was divided amongst a community, so that everyone shared in the learning. This was a yearly cycle as well.
Hemshechim - With the exception of 2 (samach-vav, eiyin-bais) possibly 3 (basi ligani is a hemshech?) hemsheichim, none of them were extended over a year (I can be wrong, as I've not learned the entire body of Chabad Chassidus)
Yeshiva Mesechta - The Mesechta of Gemorah that the Chabad Yeshivas learn is different every year.
It would seem that Chabad focuses on finishing or just limiting a cycle within a year. There can be many reasons. I don't know of any official ones, but there are some common sense ones. Such as, if someone "falls off" the learning train, they can easily get motivated to start again in the next cycle. Another reason, a commitment for 1 year is a log easier to keep to than one that is longer. And others reasons you can probably think of.
I heard that someone saw a hashmata from a sicha that the rebbe said that since the freierdiker rebbe didn't tell buchurim to learn, this means that it is undesirable to do [there are 2 girsaos 1) its klipa and 2) tachlis hashlila]. hashmata are parts of a sicha (talk) wich arent printed in the main text of the talk, klipa is a force of evil, tachlis hashlila means completley shunned
When The Rebbe said (mi pi shemua) that daf yomi is not Davar Hashave lkol nefesh" it was before the appearance of the artschroll Gemara
Now daf yomi is printed in the Davar malchus ( official publication) because it became hadavar Hashave lkol nefesh ( even more than the Rambam) It's easier to get more Tora understanding now from daf yomi in artschroll than in any Rambam in English