The primary goal is integration with MS visual studio. Also this makes possible distinguishing warnings from errors when lld is invoked from command line.
AFAIK gold reports both "fatal error" and error as well. Also "fatal error" is different from "error" in lld, because it causes immediate exit.
But I don't mind having only warning and error for now.
I'm a bit worried that showing both "error" and "fatal error" might confuse users. They are not different from the users' point of view. "Fatal error" will immediately exit, but "error" will also eventually exit with a failure code. Let's show "error:" for fatal. With that, LGTM.