why is the signal divided into epochs in EEG classification?
Basically, to perform a spectral analysis. Take a look to this: http://support.ircam.fr/docs/AudioSculpt/3.0/co/Window%20Size.html
I do not know if you refer to some specific approach, but usually, the main EEG classification approaches use frequency analysis (also combined with temporal analysis) to extract the features that will be used to train the classifier or infer the prediction.
Cheers