I tried adding the URL specified here http://[ServerName]/sitedirectory/lists/sites/allitems.aspx by replacing [ServerName] with my actual server. Unfortunately the Central Administration website refused that URL.
After investigating this, it appears that the URL should be http://[ServerName]/sitedirectory/sitelist/allitems.aspx if you want to scan all of them.
This can be easily verified by going to your Site Directory http://[ServerName]/SiteDirectory and selecting Site Actions >Scan for Broken Links. Here you are presented with different "Views" or filter options. Leave this set to "All Sites" and click OK. Once scanning has finished, click OK again. Now have a look at your URL and the other URLs when you select different "Views".
I found the description here very confusing but hope this correction will help others too.