You can read a bit of the background history of
Basically the intent is to reduce the incentive to spam links to your site on other people's blogs/comment sections. If the hosting site marks every link in a comment as
nofollow, then the spamming site doesn't get any additional ranking from the spammed links. And that helps remove the incentive to spam the links in the first place.
If you operate the hosting site and you don't use
nofollow on comment links and someone links to a questionable site, then it's hard to say if your ranking can be negatively affected. It would be up to the search engine's ranking algorithm to decide, really. But as far as I know, at least Google will penalize you for linking to low-quality (as in, link-farms and the like) sites.