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.
Why are accounts linked to a console at all? That has nothing to do with cross-play...