No, the OP is talking about checking the links SUBMITTED to my directory. If you don't validate the listings in your directory they turn into garbage over time, sometimes in less than 30 days. I'm often surprised that a professional web site, one that someone obviously paid a lot of money to have developed, is lost in short order due to someone missing the domain renewal.
However, you could check reciprocals or any other big link list with the same technology to make sure those links are in good order as well. Links are Links!
Jim is correct on this point that I forgot to mention, that the default CURL user agent is blocked in a few places which will result in a false positive as being broken. Not as many sites as you might think blocked CURL as I was only bounced out of a few sites, but I did change the user agent in order to check those links and avoid accidentally marking them as bad.
Remember, I'm not crawling an entire website submitted to my directory, I'm just checking the entry page, usually the index page.