I'm not a huge fan of having my external accounts like Steam linked to sites. I need to link my account, however, to claim a key I purchased. Is it possible to later unlink my account?

Yup. You can manage what other accounts are connected to you itchio account here, including removing access to any: https://itch.io/user/settings/connected-accounts

Keep in mind, to claim any Steam key you will need to have a Steam account connected to your itch.io account.