Trying to link my account from Steam to Epic but started on Windows Store.

Please tell me I don't have to redownload PSO2 for a 3rd time to hog up 200 GB+ just for a few skins.

unfortunately yes you do, as you said you created your account via Microsoft and the link codes only can be generated from the same way you created the account however there are other ways for this if you have a Xbox you can download there and generate the code if not then you can use Arks-layer tweaker

You can use PSO2 Tweaker to use the same files for Steam, Epic, and MS Store versions and use that to link your MS Account to Epic. Otherwise, the only other solution is to use an XBOX One.