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for example here is one of about 5 with a similar error
showing as "not found" in the report
Its kind of off topic, but i think that if you ever had a page like that, it may be trying to look for it again if you had already deleted it, also I have also noticed it that R N="2" L="2" value that there were bogus pages that never existed.
I think what i am trying to say is that there is a good chance that Google adds bogus links to a site for some reason that has to do with PR and also algorithm.
Thats a guess of course, but [webmasterworld.com...] is when i first noticed that google did that kind of thing. granted its not sitemaps, but i do not see why google would not apply it to other things search and site related.
That's all the error is. Find the page with that non-valid HTML and run it through [validator.w3.org...] and fix everything found.
Do HTML validation errors affect indexing? Yes they do. This is a typical example.