The soon-to-be-released MultiMarkdown Composer actually does something just like this as you type. It highlights reference links that actually point to something, but not those that are just brackets without a definition. As of now, it doesn't specifically highlight the "failed" links in red, just the "working" links. But that could potentially be a feature down the road.
Unsurprisingly, Brett is adding functionality to the Marked app that this mere mortal wasn't even clever enough to have dreamt about. Marked is quickly becoming 'The Productivity Add-on' that every text editor needs. An ever growing number of people are discovering or re-discovering Markdown's remarkable potential and Marked is helping them do more than they first thought possible. Thanks Brett and get some sleep. :-)
Remarkbox