You might wonder why this door linking feature is included. It doesn't seem all that helpful at first, and often confuses mappers (even after they've encountered it before, it's easy to be caught out again!)
But door linking actually has good reasons for existing as well. I'm going to borrow a clear example from Dumptruck's tutorials on Trenchbroom. Take a quick look at theis gold key door setup.
https://www.youtube.com/watch?v=TQ8MN8V0JuE&feature=youtu.be&t=2m49s
Here, the bars are separated into two different entities, so that they can move in different directions. If they were not linked together, you would require two gold keys to get past, one to unlock the left-hand bars and another to unlock the right!
It's also worth noting that the way that both of the left hand bars are combined into a single entity is crucial to pulling this off. Door are linked if their bounding boxes overlap or touch. The bounding box extends between the left-hand bars, so that they intersect the right hand bar. If all three bars were separate entities, none of them would link, and you'd need three keys to open them all.