I contend yes, addressing it would be worthwhile. Even though posting a link doesn't violate copyrights, the posting of a link does endorse a site. This endorsement flows through to copyright violation (even if not by the letter of the law, I'm no lawyer).
Legally (again, I'm no lawyer but I do know a tiny bit about copyright) I believe it's not punishable to show people where to find copyrighted information. Ethically is another matter entirely. While the material is not hosted by us or by RPG.SE, it's still essentially the same as directing someone to the former MegaUpload for copies of the books they are requesting rules from, instead of to Amazon or Wikipedia.
While the presence of some dead links could be remedied by an hour or two of volunteer work editing (yay for search features) at any time, it's a matter of social responsibility. I paid cash to have my books. I supported the company who published my books. I paid for the right to reference them whenever I'd like. Sites like DnDTools.Eu sidestep this and ultimately detract from the RPG community as a whole. If you like what's in a book, support the friggin' author.
I'm not sure precisely how this should be addressed, but it ought to be. The mods probably have a way for handling links to download illegal content? Things of this nature should fall in line with that. Even if we're not doing the copyright infringing ourselves, gaining unfair/free benefit from another entity doing so isn't right.