You want broken links from external sites showing up in GWT. Depending on the caliber of the linking site you may want to contact the site owner to get it right.
Out of interest, what would be the effect of redirecting these invalid URLs to actual valid pages?
Google has never seen content at the broken url location and a redirect is saying "it was there but now it's moved", trust comes into play as does internal link structure. It's better to ask the link be fixed and you can't ask if GWT doesn't report it.