You didn't lock yourself out of Cross-Save by bypassing the prompt. To set up Cross-Save, please head over to https://www.bungie.net/CrossSave and start setting up your Cross-Save. When it asks what your main platform is, please choose the platform where the characters you normally use and want are; based on your reply to another poster, you'll want to choose your Playstation save data as your active save data when given the option. Before pressing the final button to fully enable Cross-Save, make sure you read the overview of what characters will be where for the summary page.