I have added another interesting feature to the current beta version at
This version does check local links ("#") within internal files. However
these links are, at this time, only checked locally. I do not (yet)
check for a link to a second file + "#target", only *within* a file. I
may improve this in the future, i.e. that it will check "#" links when
they are between two "internal" files.
The result of this check is only in the report, not in the Xenu window.
Many people have asked me for this feature, so I hope it is useful and
will help you to improve your websites.