Digging around on the forum, I found this post from three months ago regarding incoming link problems:
“You didn’t do anything wrong. WP did. I am unclear as to whether it was because they started using Google or what but basically Incoming Links has been nerfed. The feature is absolutely useless now. They might as well just cut it out of the core.
You will get one of two outcomes (this started happening for some around 2.7).
One, its empty. As you mentioned above.
Two, you get spammed with blogs that have you on their sidebar but none of the posts actually link to your site.
It used to be useful, only listing posts that actually link to my site. Now its just a waste of code.
The nice thing about 2.7 is you can turn it off.”