Yes it’s perfectly ok to print like that. When you import a file into AI, on screen it will show a preview of the “SS” of that file. However, when it goes to print the postscript tells it that it needs to read from the external source, when it does that it goes into the linked file, and reads that info… not the info that is previewed on screen. Now if you embed it… which I actually think PS files automatically do… it puts ALL that same info from the original file in the AI. Check it out… you should notice a substantial file size difference in an embeded image and the same image that is still linking.
It works in the same way that Quark, and Indesign work.