If by "Linking" layers you actually mean "Merging" layers? then the purpose of doing it is to prevent you from accidentally changing the position of several seperate imagess that have taken you so much time to correctly place. that is the only reason i can think of really...
He means linking though, I've never understood it myself, You can "link" layers together and it puts a small icon on the layer tab, but it really doesn't do anything else
It can be very useful if you're tidy with your PS work... Linking layers make it easy to control them as a group... The next stage is putting them in folders and so on, it really helps you create organised PSDs that are easier to edit at a later stage.