If there are 3 websites of same IP, shall i exchange links with all three?
some say that Google thinks of of same-IP websites as one unit only.
Is it true?
In general yes that is true.
But, if the 3 sites are all selling relevant products to each other, then you can look at exchanging links as "cross promoting".
Or, think of these sites as pages within the same site. Choose one of the sites as the most important, and point the others to the main site. The main site will get the "link juice" from the others.
It is not true that there is no benefit from link exchange from all three websites but there are few conditions if all three website have same content and poor PR then it is useless to exchange links from those websites or if those websites have quality content and have good PR then it is fruitful to exchange link from those websites.