Hello Pascal,
Like Hillary Clinton, I have a public opinion and a private opinion when it comes to stuff like this. The public opinion is also Google's, and that is to use a rel="nofollow" attribute on widget links. They are considered links that webmasters use to manipulate the search engine rankings. Yes, that video is old, but the rule still stands as far as Google is concerned.
My private opinion is that widgets are a form of branding, and it is not a webmaster's responsibility to do anything other than get their brand discovered far and wide. You created a widget that, if people are using it, probably provides some value to them. Why should you get any less credit for this than you would get from someone linking to the widget on your site?
If you are going to keep the links followable, my advice is to keep the anchor text branded and the href pointing to your home page. This is the least likely to seem like link-graph manipulation. Avoid deep-links, unless they go to the widget download page, and avoid optimized anchor text. Use "YourDomain.com" or "Your Brand" instead.
I'll leave the question open for more input since this isn't a question that necessarily has a single "right" or "wrong" answer.