Having just recently left just such a situation, I'll agree with much of what you've said. Time spent intimately in a D/s relationship, getting to know each other, building trust, does open you to that emotional component. And those feelings can run even deeper than the physical or mental sides of the partnership.
It's important to think about where you want the relationship to go and also to discuss it with your D/s counterpart. This may mean putting those walls up to keep it from going farther/deeper than you're prepared to take it. Does limiting the depth of that emotional connection also prevent you from letting go fully? Yes, probably. But your feelings may grow beyond your original plans even if you try to manage them.
In regards to the poly dom aspect, that can get even more tricky. If you know he (or she) already has other long-term relationship(s), you have to be cautious about what level of emotional connection he can make with you. In my experience, it wasn't establishing the emotional connection that was the problem - that just happened on both our parts. It was after those feelings were in play and the relationship seemed to be going along well for all parties that he decided to focus his time & attention on just one sub. So I would say the key is not just starting the emotional connection but sustaining those feelings across all of the involved parties.