My "main" blog (the first in wpMU) have a "blog/%year%..." in the permalinks structure. In the option "rewrite_rules" there are rules like "blog/%year%..." => no problem.
For other blogs (n°3 in database), the rewrite_rules still include the "blog/%year%..." but the permalinks structure does not... so no link works !
I have a subdomain structure (blog3.maindomain.com) but I wanted my main domain not to be on the root... so I installed it in a "club" subdomain, and each new subdomain will have a .htaccess to first redirect to the "club" folder... It work perfectly for the index of each new blog (subdomain) but then, links in it don't work.