Site Audit > view all issues > 404 > view affected urls
'First found at' and 'Source' should both show the URL which is pointing to a 404 page.
Sure, we can fix the 404 by adding content or with a redirect, but old backlinks need to be sorted out if possible.
At the end of the day, it's just basic UX. Why make us go to the backlinks report if you can just show where the 404 url was found?