Yes, I have created 3 subsites and every post "pushed" to the main site links back to mainsite/blog/.. Using the "link to parent" broadcast option doesn't make any difference :(
Discovered something new though... I had been having trouble with the images following the post in my magazine template. It appeared to have sorted itself out, until I started creating new posts with a different category and the images were missing again!
It seems that I have to create a new category in the main blog first. Then, when I write a new post on a subsite using that category and the images work OK!
Don't know if this helps regarding the back linking to the parent issue or not?
The other thought that occurred was that maybe it's something to do with permalinks? All my sites have the /%postname%/ option. On my main site that is "blog (greyed out) / %postname%/"
Why is nothing easy!??
Edit: I just tried something else. I have a static home page. On the main site "reading" settings, the posts page was unchecked, so I set that to a blank page (contact). The broadcast posts all show up there as well, but still all linked to mainsite/blog/...