I have designed several sites on the same IP address. They all interlink extensively but only when the themes are related. It doesn’t cause any search engine promotion problems. The important thing is to make sure you only link sites that are related by the same theme or topic. Don’t start linking an automobile site to a restaurant site or you’ll run into trouble eventually.
Related linking should be fine. The blog bone’s connected to the forum bone, the forum bone’s connected to the ecommerce bone, the ecommerce bone’s connected to the directory bone, and all that.