interesting question. clearly depends on the type of forum community one has / targets. myself, i don’t care because my forum has no real competition in that regard and i welcome links to related forums (it’s a official fan forum for a professional sports league). but i can see possible scenarios where one might be more sensitive (and rightfully so) to other forum links.
for example i can easily see how a forum specific to a company, say to discuss their product features and for support, would not allow links to other forums.
a lot would also depend on the context. if someone on my forum linked to another forum to mock or otherwise attack that other forum, a user there or their posts, then i would have mods remove it (if they don’t do on their own). also, opposing forums dissing each other is poor forum etiquette IMHO.