There isn't any official policy about not linking to Drupal Modules.
Drupal Modules gives a rating for the module, and this could be useful information. Plus, the list of related modules seems more accurate on Drupal Modules than on Drupal.org; for example, for the Views module, Drupal Modules gives 10 related modules, while Drupal.org gives 5 links, including one for the Follow-up module, which doesn't seem so related to the Views module.
I personally prefer to link the project page on Drupal.org, and the reason is mainly that:
- It is the official site
- It reports more links related to the module, such as documentation links
I just think it's preferable to link to Drupal.org, in the same way it is preferable to link the documentation on Drupal.org API, rather than third-party sites (when the information is given on Drupal.org API).