>>> Should I refuse link exchanges with link.htm pages?
It depends upon your purpose for link exchange. If it is for gaining link popularity, especiall PR, then the answer could be both YES and NO.
Since it is a widespread phenomenon that links.**** does not show up as backlink, it sounds very negative. It is not certain whether links.**** is ignored totally or partially. Many people are also not sure whether there is any PR being passed. On the other hand, Google may "pretend" to ignore it, by not showing it as backlinks.
Personally I don't believe that G ignores links.xxx totally, but PR being passed is heavily discounted. For example, a PR5 link with other file name such as resources may pass PR3 to a destined page whereas PR5 links.xxx may pass only PR1 when all else equal (The PR value is just for illustration).
Then back to your question...If I were in your shoes, the answer is NO, if the links.xxx has little PR. The answer is YES, if the links.xxx has great PR at least PR5 or more with limited no. of links. This is based upon an assumption that we don't know for sure which side would turn out to be the winner, so exchange with only high PR links.xxx should be a safe move.