Reinstalling Photoshop.

When the 'link' between Lightroom Classic and Photoshop has issues, the first step is to try this:

Use the Adobe Creative Cloud Application to uninstall Photoshop. When asked, keep preferences! After this reinstall Photoshop again.

If this doesn't help the nest step is to reinstall both apps Lightroom and Photoshop. Please follow the steps below:

1. Open the Adobe Creative Cloud Desktop Client and uninstall both Photoshop and Lightroom Classic. When asked, keep preferences! 
2. Install Photoshop first and then Lightroom Classic. The right order is very important here!

If this doesn't help try the reinstallation with removing the preferences also.

That warning just means to save any open files in Photoshop before uninstalling — it’s not about your Lightroom catalog or exported photos.
Before reinstalling, try:
Updating both Photoshop and Lightroom via Creative Cloud.
Resetting Lightroom’s “External Editing” preferences.
Signing out/in to Creative Cloud.
If it still won’t work, uninstalling and reinstalling Photoshop should restore the “Edit In” feature without affecting your saved work.

Just proceed with uninstalling if that’s what you want to do. If you don’t have any images open in Photoshop, there’s nothing to worry about. Your existing files on disk (JPEG, PSD, RAW, etc.) will remain untouched — uninstalling Photoshop won’t delete them.