This feature has been a very long time coming. Website link tester Integrity reaches back to 2007, Integrity Plus and Scrutiny build on it, using the same engine.
So this is a well-overdue feature and now it's built into our v6 engine and can be rolled out into Integrity, Integrity Plus, Scrutiny and other apps which use the same engine.
As you can see in the top screenshot, the new checkbox sits nicely beside the 'broken images' switch (which has existed for a very long time). The option can be set 'per-site' (except for Integrity, which doesn't handle multiple sites / settings)
With that option checked, linked files should be listed with your link results (obviously there's no link text, that's given as '[linked file]').
This feature is in beta.
[update: the beta version of all three apps containing this new feature is available for download on the app's home page]