The one cross-platform link
Dune: Awakening has exactly one cross-platform progression link: Xbox Series X|S and the Windows PC (Microsoft Store) version. Characters and progression carry between those two. PS5 and standard PC (Steam) players are fully separate.
What 'sharing progression' covers
The exception is described by Funcom as shared progression between those platforms — meaning you keep your character progress across the Xbox and Windows-store versions. Platform stores are the authoritative detail source for how to link accounts; this page is updated if the official wording changes.
Why economies make this matter
Because Worlds and Exchange markets are platform-pooled, the Xbox ↔ Windows PC link means one economy pool across those two. A cross-play update (confirmed 'coming post-launch', no date) would be the next big change to how pools merge — this page tracks that too.