On Page Updates No Updating

I am using SEOmoz to check backlinks and onpage stuff and I had 8 links coming from one of my sites to another of my sites and they live on the same server.

I know this is a bad idea so I deleted all the links and 6 weeks later SEOmoz is still showing the 8 links from my site.

How long should it be before this chnage is updated? IS this just an issue with SEOmoz?

Not sure how long it will detect new updates on your site, you need to compare with other seo checkers in order to see the difference.
SEOMoz might be still reading its cache for your site.