They do now..
The mistake I made (if you can call it a mistake) was that I just renamed the default directory that came with Links Directory, that didn't show up any stars at all, I did have the "Allow review" thing checked, but it didn't work. I then created other directories, and they were fine, just the original one wasn't. I have it sorted now, I just deleted the original default directory, and all is well with the world.
Thanks for your help.