I have configured Broken Link Checker to crawl links in a custom field, for well over 30 thousand records, a feat that is by no means fast regardless of how it's configured.
The problem is that it's pulling all the custom field links and appending them to the web site url (ie the value of custom field "url" is "http://www.othersite.com/" and is subsequently being turned into http://thesite.com/www.othersite.com/" which is returning a 404 as expected). So somewhere the plugin is actually removing the http:// prefix and prepending the url with the blog url prior to checking it.
I'm going to go hunt around in the code, but I've got three projects on the go today and am hoping somebody else might toss me a cookie on this one. :)