Bluntly - I'm not sure.
What that tool does is expose all links from your main url you enter.
So it could be if the link's that have 404's are not actually off your domain themselves?
Without asking you what your url's actually are - can you identify what your 404 url's are?
I just took a peek myself at a domain I have in there - and I actually see a 404 error myself - and what it is, is that somehow it's been misreported.
It needs to be:
http://www.mydomainname.com/keywordphrase/post-title
Instead it reads as:
http://www.mydomainname.com/post-title
I am going to drop Marty a query about this and see if I come up with anything. I suggest you get a support ticket from WPD.
And we can both report back here
Caro