Linking your account has two main advantages:

- if posts from your SE user are imported, they show up as your  own posts here. This means you will find them in the list of your questions/answers in your profile and you will get notifications if someone else edits them or posts comments.

- there have also been cases in which users forgot to save their topanswers key and had to create a new account. The link to SE helped to prove that they are the same user and the accounts could be merged.