Probably worth noting that this is true even if you unlink the account from PSN. Linking the account once blocks that account from other consoles permanently.
It's especially ridiculous for those who played the Paragon beta on PS4, as their Epic accounts are still blocked from other consoles even though Paragon has been cancelled and shut down.
No, there is no warning when you link your Epic account to your Sony account, as far as I know.
As for why accounts are linked to a console, linking your account means you can have the same friend list across platforms, which makes it easier to play with your friends no matter where you're playing. Also, and maybe more importantly, you have access to all of your cosmetics across platforms.
