I did not look at the link, but it's not necessary. This is better because the discussion may be useful for someone else when it's less specific.
If it's just one directory it's not going to be a problem. If you have a hundred or more directories, and not many other kinds of links, THEN that could POSSIBLY be a problem. The reason WHY it could possibly be a problem is because it begins to look like a pattern. Patterns are what tend to get sites in trouble. That's an important point to understand.
Is the anchor text a targeted term or a "branded" term? It is important that the anchor text of the link is not a commercial keyword. If you have a large number of links with specific anchor text, it is hard to argue that it is a natural link. Ideally the anchor text would be the URL of your website or something innocuous.
Have you measured the value of these links (mozRank passed, etc.) to see if they are actually helping your rankings? If there is significant value, and they look natural, it is probably worth leaving them alone. If there is no authority value, then seeing if you can get them no-followed might be a good idea.
Have you measured the referral traffic from these links? If you are getting good traffic, then it is probably worth leaving them alone. If you get no link value and no referral traffic, then I would definitely no-follow, and consider asking them to be removed just based upon risk.
Do you have a penalty on your site for unnatural links, or have you received a notice in GWT? If you have, then there would be a strong argument to consider getting rid of the links or having them no-followed, regardless of your answer for the 3 questions above.