The precautions I'd take would be to make sure you have a full set of backups before starting, and that you back them up off the phone as well (or make very sure you don't wipe the SD card during the reset).
If you have a custom recovery and do the factory reset using that then it will clear the partition for you. Custom recoveries usually know about SD card partitions, whereas the stock android OS does not.
If you are using the system menu it's probably safest to wipe the partition yourself. If I recall correctly Link2SD lets you move individual apps rather than all apps, which would imply individual softlinks in /data. My expectation is that formatting /data will wipe the links rather than erase the linked files.
