If you feel this is a good site for you to have a link from and or too then maybe add the no follow to your return link as they could just be working on gaining a page rank by trading links. Most people won't take the time to look that they are not allowing the spiders to crawl that page. So in essence they are getting free rankings from your site however not returning the favor. Seems pretty crappy to do this but I think you will be seeing more of this with Google putting such a strain on back links.