Using NU HTML Checker, check by adress -
How can I kno what file has the errors?

it reads the link you put in there, so it should be the file you linked

Using the Nu HTML Checker, one can choose “Check by”: file / text / address.
When checking by address, I get a report of the items need to be addressed. It specifies line and col of the item need to be addressed. However, it is not clear to me what file is the one need to be addressed.

Whatever file is served at that address.

So if it is the root address it would usually be the index.html file at the root.