Rational and COAST Software have confirmed a bug which I found in Rational Site Check v2001A.04.00 Build March 29,2001 16:47:51 .

We have setup Rational Site Check to examine a website, and it is set for Internet (HTTP) , not Local Files.
The Defect Reports display some odd Path results for Broken Links. For example, a URL has the Defect: External Link Not Found Http Return Code: 404

When we click on the Path link we find the URL is reported incorrectly as file:// instead of http://
The Path was the first column in the report.

Rational's fix:
After you complete your scan select ListView menu > HTML Reports > tick the checkboxes to select all reports you are interested in.
Select Customize Selected Reports.
In the Selected fields; select the "Path*" entry and just move it down so it is not the first entry.
Select OK > OK again and the report should appear as intended with all links referred to as type "http://"