You only need to link your account if you previously played on a different platform (i.e. Xbox, MS Store or Steam). If you're brand new, you'll be fine.
But, if you decide to play on a different platform you can link you account via the code generated on your original platform, in your case, Epic
So, for instance, I played on Xbox (which is also the same as the MS store - because owned by Microsoft). I then decided to play on Steam so, in order to keep my characters, I generated a code in the MS version and used it when first playing on Steam. I'll do the same if I play using the Epic launcher