EH, Silvery is spot on. I too managed a large directory with thousands of outbound links and hardly any deep links coming in. (Lots to the home page) The home page is still PR8 and the lower level pages show a spread of PR.
However, I think your SEO is also referring to text links on your home page that go to other directories, i.e. a reciprocal link arrangement. Depending on the placement of such links, they may look like paid links and a no-follow might be advisable. For links on category pages, a clean link to them is fine, but those pages might get greybarred.