Why should it be harmful? If done right, there is nothing wrong about it. If you are gonna put 1 link pointing to another site of yours, especially when it's related, there is no wrongdoing in it. If you have 100 domains and link to each of them from each of them, across 100 of subjects ... well then yes, that might create a problem or two.
It depends on the type of sites - if they are relevant then you can link between them (without overdoing it), but if they are not then you shouldn't. It really comes down to how natural it is. If linking between sites is likely to seem natural to the search engines then do it, if not then don't.
Link exchange is the most successful way for increasing your visitor traffic without paying any money for advertising. Link exchange is also considered essential for the search ability of your website - search engines like sites with a great number of incoming links as these sites are perceived as more important than poorly linked sites.
Google can ban you for that. I forgot the name of this scheme people often try to include numerous websites into one linking network to increase the rank. Search engines often ban all of them. But you can risk and try, if you don't mind losing those websites. It may work.
Then this must be the reason why I lose my rank during the panda update last 24th, don't you think? Although they are all related, I linked them all.
Google tell us that they try to reward natural behaviour and it is natural for a company to include links between their various websites. How you do it will be the key, and the quality and authenticity of the sites. If your sites are shoddy, article farms or MFA then the linking strategy is unlikely to work. If the sites are active, unique and appear to genuinely represent a business then there is no reason for any penalty.