Because a no links in e-mail policy will stop spammers from putting in links?
It's unlikely that everyone (or even most) will remember the policy, so it's not a giant selling point.
oh I don't care about "selling" I care about not getting my clients scammed.
You'll want to make sure that it is made extremely clear to every user of your site that no REAL e-mail that comes from you will ever contain a link. For example, you might put it on the news page. Or have it so that when someone signs in they get a clear message about it at least once.
You will want to make sure that all of your customers, not just the customers on the forum, know that you have a very strict policy of not putting a link in an email. Your policy only has a chance of thwarting a scammer if the person who reads a scam mail knows "Oh, OK, I see a link, I know it can't possibly be from them even though it looks genuine otherwise."
The more educated your users are the more successful you have been in helping them thwart phishing.