You're confused. They only show one ad for a given URL at a time, but thats not the same as being slapped. And many advertisers dont allow you to direct link so you dont fuck with their own campaigns.
How would adwords know if you're a direct linking affiliate or the actual advertiser linking to their own site? They dont exactly track affiliate IDs.
If the advertiser allows it and noone else is advertising for that URL (or you're top of the pack) you're free to do so. Of course you'll get slapped if the advertiser's site is just a thin landing page. But again, thats nothing to do with direct linking. Thats to do with thin landing pages. One thing that people do is deep link to a product on a merchant's site (which in theory is not 'thin'), that no one else would be linking to, for example. This used to be popular with amazon, til they disallowed direct linking to their site.