A blog is just the same as any site. The only links that could "loose you points" would be links from sketchy sites and maybe paid directory links (Google in the future). You shouldn't be worrying about what links will hurt your ranking, you should be focusing on the links that will improve your ranking. Just remember, exchange with sites in your niche.
it depends. If the blog is flagged by google then a link to that blog on your website will hurt your ranking.
I'm asking you this because I heard someone saying that there are several reasons why a website owner don't want to have links pointing to blogs on his/her site. And one of these reasons is the website losing points in Goolge's SERPs. Is that true?
Nah.... it's probably because the blog had a lower PR, and the site had a higher PR, so there was no benefit for the site to link to you in exchange for a link from them.