@Toxaris - meme forgot that the right-click menu on Reports has been added this week, try it with the next beta build
As for Open With, not directly could it be used that way, no. In theory you could I think write a script or external executable which takes the path supplied, calls the web service and then displays its own message of the result. Other than that it would have to be baked into Sigil as a "Validate with W3C" option, which would be nicer. However that also means handling the issues of proxy servers etc that any application that tries to talk to the internet does. It won't be in the next build, but we will put it on the list for discussion.
Edit: meme has pointed out to me that there is an alternative to the web service of actually passing the text in a querystring and opening in a browser. I will take a look to see how well that might work, it would be an easier solution to implement with a new menu option as mentioned above...