If you import data, you now have two separate copies of the data. If you
change the data in one copy but not in another, you now have two *different*
copies of the data, which may, in some circumstances, lead to confusion over
which version is the correct one. If you link data, there is one copy of the
data and such discrepancies can not arise.
Of course, there are circumstances in which this may not be a problem, for
example archived historical data which does not change.
Neither approach is better in all circumstances - they both have valid uses
in appropriate circumstances.
