Code

void OnLinkCreating(object sender, LinkValidationEventArgs e)
{
	if (e.Destination == null)
		return;

	e.Cancel =
		GetCommonLinks(e.Origin, e.Destination).
		Select(l => l.Pen.Color == e.Link.Pen.Color).
		Count() > 0;
}

DiagramLinkCollection GetCommonLinks(DiagramNode node1, DiagramNode node2)
{
	DiagramLinkCollection commonLinks = new DiagramLinkCollection();

	foreach (DiagramLink link in node1.OutgoingLinks)
		if (link.Destination == node2)
			commonLinks.Add(link);

	foreach (DiagramLink link in node1.IncomingLinks)
		if (link.Origin == node2)
			commonLinks.Add(link);

	return commonLinks;
}