It depends how you link the sites. WordPress is very particular.
If you link it with http://... at the beginning, then WordPress will generate a pingback. If you do a relative link, then WordPress will nto generate a pingback.
Whether this applies to subdomains as much as to cross-domains, I can’t say. But, try linking them with full liks (http://...) to see what happens.
Also, make sure you have some pingback servers under Settings > Writing (Update Services section), and make sure you have Allow link notifications from other blogs (pingbacks and trackbacks.) enabled in Settings > Discussion.