Well, while your current setup may be helping you in the rankings, by it's nature, it puts you at risk for a penalty. You may go on for years and not be penalized or you could get whacked at the next update. If I was going to make a guess as to the likelihood of such a penalty, I'd put it at 40-60% within the next couple of years--other SEO would likely give different numbers. I think all would agree,however, that you could keep your existing links and mitigate your risk of penalty by consistently working to build good, strong links from other resources to offset the footprint of your little network. Will you have enough good links by the time your site was evaluated by a potentially penalizing algorithm update is the question you have to be comfortable with not knowing the answer on a daily basis.
If those 10 sites are are a side job for you and you can easily assume the risk, then you might wait it out and see if you can get away with the setup you've got. If you plan on depending on those sites for your livelihood in the future then conforming more to Google's best practices is more in order.
There's probably no reason why you couldn't keep a link or two with some combination of brand and keywords in their anchor text on each site to each of the others but I don't think I'd go beyond that (others may differ). If the links are currently helping you, then you are going to take a rankings hit when they're removed but that hit would be to preserve the long-term health of the site. From here out, it's about working on building better links to your sites.