I am not sure what you mean with the Multi-sites but 3 installations for 3 sites isn't considered a multi-sites scenario. Probably you have 1 Joomla website installed on the root of your hosting account and 2 more in subfolders.
You haven't specified the conditions and how you are trying to link from the main site to the other 2, what's the purpose and how the links are generated and what is it if any the relationship of the linked sites/pages.
But from what it seems, this is an external link from one website to another. You are leaving Main Joomla to go to another Joomla.
If your link is of Non-SEF format, then when you reach to the other websites the url will still be a Non-SEF one, unless you have any redirections from the Non-SEF to the corresponding SEF one.
So, if you link like this:
That's exactly the URL you will end up on the other website.
sh404SEF (paid extension) could help as it auto-creates and auto-redirects all non-SEF URLs to their SEF versions. Note that sh404SEF has to be installed on those sites that the Non-SEF should turn the SEF one - therefore on the site that you are linking to.
You could also use the J! core Redirect component to manually make redirections - or redirect using the
.htaccess in the same fashion.