From comment on another post with the same topic “
"penalize" may be a little tough, but Google has made it very clear both from MC comments and the support pages.
[google.com ] “Keep in mind that our algorithms can distinguish natural links from unnatural links. Natural links to your site develop as part of the dynamic nature of the web when other sites find your content valuable and think it would be helpful for their visitors. Unnatural links to your site are placed there specifically to make your site look more popular to search engines. Some of these types of links (such as link schemes and doorway pages) are covered in our webmaster guidelines.”
As Google considers each link to your site as a vote for your site/page for the given anchor text (greatly simplified), they are trying to avoid counting any links/votes that you have control of. This includes paid links, link farms, reciprocal links, signature and links on pages/site you control.
I do not buy into the belief that Google already knows about my sites being under my control. For some of them they do, but why should I go ahead and tell them to make sure that they know and can avoid counting those links. With that said, there is still a potential traffic benefit to cross linking between your sites; it is just whether you would like at least he potential for Google to count the backlink.