Let's say you have 5 sites. If you add links to all 5 sites on your blog, on your facebook page, on your "about me" pages on various message boards, etc - is that seen as an attempt to game the system, and would it count against all your sites as a result?
You could test it and find out. Lots of businesses link to their core sites from their blogs without trouble.
My prediction is that this kind of linking just won't do your ranking much good - and that's especially true if it's run of site linking (like the blogroll) rather than in-content links to specific pages on your sites.