If you want to do other things together, excursions, Meet and Greets, etc., linking the reservations allows you (or them) to make reservations for all of you, so that it is easier to make sure you all get the same trip or the same time. Of course, you can still change appointments they make for you, and none of it is paid for until later.
But on the other hand, you can easily do the same thing by just communicating which things you are signing up for and at what times so that they can pick the same ones on their reservation.
One other consideration, my mother went with us and she is 70 and not that computer savvy, so linking our reservations allowed us to sign her up for things without her having to worry about it. Then she just paid her room bill when it came, with the things we had signed her up for. In this way, even if she wanted to do a spa treatment or something we weren't doing, we could still sign her up for it, so she didn't have to mess with the online reservation system.