I think I deleted all the "link exchange" type links from my site and client sites maybe seven years ago. In part because you never know if you're linking to someone that will engage in black hat SEO. Also because Google began to discount links from a page that was just links and not much more.
I do have sites that link to one another out of basic relevance, so that's a little different. Or links embedded within content (an article, etc) as opposed to a page of just links. Reciprocal links do have their advantages, but anything that seems unnatural probably won't weigh much.