Linking as far as I’m aware is only for purpose of transferring cosmetics which is not something you should be worried about, it’s for legacy TSW players.

When it comes to playing standalone and steam clients are completely different accounts, you CAN tranfer your standalone account to steam or vice versa one time only and it’s irreversible after that.

So if you created your character it’s still on that standalone account and you can get to it via standalone client still.