What is linking? I don't understand why InDesign works in this way... You can of course embed an image, which will store it as part of the InDesign document. Embedding will increase the INDD document size by adding the files size of all embedded files to the size of the INDD document. If you have a small project with one or two images this may not be a bad idea but if you have a multi-page document with 10's or 100's of images then you are asking for trouble.
Linking also has the added benefit of alerting you when a file as changed and when you embed you break the link to the original file. Linking is the way to go AND it is the default behavior so you don't have to think too much other than initial file management.
Another issue is the link panel. When you select a linked (or embedded) image you can see a lot of information about the image: Color space, file size, scaling, PPI and effective PPI... This is a valuable resource.
