When you link contacts what happens?

What do you mean by "link contacts"?

If you mean turn on iCloud Contact sync, then all of your contacts will automatically sync to iCloud and to other devices where iCloud contacts are turned on and any future additions/deletions/edits will also automatically sync.

But, if what you mean involves linking your Contacts with some other, non-Apple app or service, then what happens is that you give this outside entity permission to harvest data from your Contacts files. This is almost never a good idea, in my opinion.