If the relationship between 3 linked sites is like this: is this bad news for site C? {Brag: I made that graphic myself } but seriously, yeah I was wondering. If A and B are also linking to each other, and C isn't also linking back to either of them.
This is mostly done where as per your e.g. 'B' and 'C' site or 'A' and 'C' site are of any one person. Webmaster make more then one sites and put one site for just adding links and other site of which link will be added to the opposite party's site.
its not bad, if you do 3 way link exchange make sure you got one that is for 3 way link... both A and B get one way link without passing any link juice.