Besides Page Rank leakage, others don't like displaying the url for fear of spyware.
Intrestingly, it does make it harder for a SEs to detect that your site is an affiliate site and therefore it offers some protection in that way.
I have a jump page, but instead I just feed it the entire url. This has caused problems with some urls so I have to urlencode them. Currently, it's not used for any affiliate links, as I'm unsure whether it's reliable enough for tracking.
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