Transformation Pets and Divine Link

Yes, they stack. As an aside, the bonus hp/mp/sp/str/int/dex/will/luck for Divine Link is based on the pet's stats at the time of linking. Higher stats before link, higher bonus link gives.

So if the pet is already transformed before you link, then not only will the effects stack for the pet, but the link's bonus will be stronger by virtue of the pet's stats being higher to begin with due to the bonus it receives from being transformed.

This is also true for situations like HP/MP/Stamina Buff Potion and food. Use one on the pet before you link up, and they'll be taken into account when the link's bonus stats are calculated.