It could definitely piss off users who have their own affiliate links [someone upthread said the service they're using won't remove existing affiliate links, btw.] That's a small number of users to be sure, but they may be important users: consider people who run taste-making blogs that make money via affiliate links. If a number of popular blogs like this realized their affiliate links were being removed, and complained about it, it could make for some pretty bad PR for pinterest, and it would be well-targeted bad PR, since that's exactly the community pinterest appeals to.

I think leaving this undisclosed would be a bad idea, as the rumor mill could start up, and spread misinformation about what's happening with affiliate links. It would also be a good opportunity to get feedback on policy.