Hi Mike,
This usually happens when someone leaves a comment on your site, they fill out their website URL, and if it’s an http address instead of https it ends up being a broken link.

When approving comments, make sure to delete their website URL so this doesn’t happen.

It’s also a good idea to get in the habit of checking broken links often so you don’t end up having a list of them.

Hope this helps.
Jenny.

Hi Mike, no idea how those links could have got to your website. I only recognize one person from your list. Some of those links could belong to people who have left WA or not done any updates to their links or deleted certain or updated those posts.
Glad to hear you followed Marion's training and found them. Broken links are damaging to your site and should be deleted or re-directed if you feel they can be beneficial.
I would not just ignore them. Delete or re-direct them.

Best wishes,
Michael

Well, that's one I've never experienced. Sounds to me like it might be a question to ask SiteSupport.

Thank you for the comments everyone.

I went to site support who answered really quickly as usual.

Response as follows.......

Hi Michael,

We see that mentioned URL links are the remote URLs so you can safely ignore the warning.

Or you can redirect these URLs to the home page so that will not receive the broken link error. Please refer to the following URL to know more about "How to set redirection for the URL."
How Do You Set Redirection in WordPress?

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Kind Regards Mike

Have they added links in comments perhaps?