Bass,
To answer your question:
It is a violation of copyright law.
Everyone does on it YouTube though and not quite sure how they get away with it actually....
But PG wants to abide by the letter of the law and it is their right to ask or even demand this. It is the law and they own the website.
On YouTube, it's easy: you mark that it's a cover version and indicate the copyright owners (if YouTube doesn't do that automatically), and your video will be demonetized and the owner will be paid for each playback.
Or, with some labels/artists, your video gets blocked.
I'm not sure if linking to a cover (we have to do this here because PG doesn't host music) is against any law at all.