tedster - 3:18 pm on Sep 15, 2012 (gmt 0) [edited by: tedster at 3:21 pm (utc) on Sep 15, 2012]
The answer to your title question is straightforward - YES! Certain keywords can be penalized even though others are not. And having lots of backlinks where you obviously controlled the anchor text is a kind of off-site keyword stuffing.
This control is very clear to a company like Google with all their data, They know what a normal or natural distribution of anchor text looks like and they easilty can see when a site is far outside that distribution compared ot other, similar sites. So they can and do penalize for it, and you won't fix this off-site over-optimization issue by doing more of the same thing.
At the same time, don't worry to much about calculating on-page keyword density. It's a non-productive dead end these days. The idea goes back to Alta Vista and Infoseek, and it's not very relevant to today's search engines.
[edited by: tedster at 3:21 pm (utc) on Sep 15, 2012]