At the launch of Helldivers 2, it was optional to link the Steam account with a PSN account, but the grace period is close to expiring. To continue playing Helldivers 2, you will have to link your Steam account to a PSN account. If you do not have a PSN account, it is required that you create one and then link it to Steam. Here is what the devs said on the issue.
Due to technical issues at the launch of HELLDIVERS™ 2, we allowed the linking requirements for Steam accounts to a PlayStation Network account to be temporarily optional. That grace period will now expire. See details below in this post.
Account linking plays a critical role in protecting our players and upholding the values of safety and security provided on PlayStation and PlayStation Studios games. This is our main way to protect players from griefing and abuse by enabling the banning of players that engage in that type of behaviour. It also allows those players that have been banned the right to appeal.
As such, as of May 6th, all new HELLDIVERS 2 players on Steam will be required to connect their Steam account to a PlayStation Network account. Current players on Steam will start to see the mandatory login from May 30th and will be required to have linked a Steam and PlayStation Network account by June 4th. PlayStation Network accounts are free and easy to set up using this link
https://www.playstation.com/support/account/create-account-for-psn/
We understand that while this may be an inconvenience to some of you, this step will help us to continue to build a community that you are all proud to be a part of.
Steam