PENALISED Directories get penalised for being crap. Sellings links, not reviewing sites, bad editorial standards and other common known practices such as blackhat SEO or poor methods of link building.
Some things that can get you penalised, not strictly but these can contribute are having your directory known enough that people actually talk about it. Selling and promising that you will pass PR juice to the link buyer, selling on your authority status. Having a virtually empty directory, sponsoring tons of directory and wordpress themes, getting links super quick, and even if you annoy anyone else here then rest assured that they will take their upset and go report you. Its got nothing to do with the quality of the directory, they will penalise a directory with a 50K investment put into it and they will penalise a directory that took $10 to get setup. Nothing can truely protect you from it and rest assured then anyone who still comes here bragging that they were not affected will infact sooner or later be affected, hence why i always stressed not to enjoy anyone elses troubles. Its not exclusive to dirs, blogs etc are and can be easily penalised.
One of my competitors, whom is also a DP member and dominates nearly every variation of a particular key phrase/product range, sponsors hundreds of wordpress themes, free web templates, joomla, directory templates...literally anything he can, with well over 30,000 backlinks from these sponsorships alone, and he ranks number 1 on Google for all the anchors used in the sponsorships. Yes, he's spent an absolute fortune sponsoring them all, but IMO it must be paying off...the markup on the product is unbelievable and he dominates it all. However, even Cuttsy has posted on his blog about sponsoring WordPress themes and how it's a big "no-no", yet, this is exactly what my competitor is doing - and reaping the rewards. Google shouldn't ignore this case, it's not as if the keyword is not a major phrase. Sometimes you just gotta think, "Bastards..."
I find the title of this thread so funny... Untill now...Google fu*ked or "penised" a lot of directories. Keep your directories away from the G's penis !
As far as im aware it means the link is still followed by search engines but the link does not pass PR benefit.