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It's my understanding that you treat each subdomain as a unique site. So each subdomain should have its own unique XML sitemap and robots.txt file, as well as submitted separately to Google Webmaster Tools. But to answer your inter-linking question, I would avoid including the other domain URLs in those files (XML and Robots). Only include the URLs for that particular domain and/or subdomain. With that being said however, I would inter-link them on the actual site somewhere. Maybe in the HTML sitemap, navigation, footer, or even naturally throughout your body content where appropriate as well.

Paul, excellent response.  thank you so much. i use Yoast SEO plugin.  Why do you say the yoast image 'redirect' is not the same thing as I am doing?  It seems like the exact same? Ben