That is a very good idea and we will look at adding that out-of-the box for the next milestone.
In the meantime you can actually get that report by saving this XML into a file (say Redirects.xml) and using the Query->Open Query, please let us know if this is sort of what you were looking for.
<?xml version="1.0" encoding="utf-8"?>
<query dataSource="links">
<filter>
<expression field="LinkType" operator="Equals" value="Redirect" />
<expression field="LinkingIsExternal" operator="Equals" value="False" />
</filter>
<displayFields>
<field name="LinkingUrl" />
<field name="LinkedUrl" />
<field name="LinkedStatus" />
</displayFields>
</query>