Well that site is the exception not the rule. That site is indeed returning a 404. For example, try it in header check tool:
http://www.webconfs.com/http-header-check.php
Some urls will return a header one way but a GET request another way. The alive checker does first a head check and then a GET request. When searching for alive urls it looks for the HEAD and if its a 404 does a GET and the site returns a 200.
But your using the alive checker backwards, your using it as a dead checker. So when it finds a HEAD of 404, which you have set to mark as alive, it then stops and doesn't try a GET because it always has what you have set it to look for.
Some sites out there do "Funky" (how do you like my technical term) things based on user agents or HEAD vs GET or scripts etc..
What I suggest you do is use the alive checker as an alive checker. Check for 200 and 301 etc.. Then take the dead urls and run them against your reverse alive checker to find the 404 ones.
Or if you tell me what your end game is I might be able to tell you a better way to go about the whole thing anyway. Like if your looking for expired domains then just skip the alive checker.
If your looking to find broken links the broken link checker works better etc..
But Scrapebox can't change the fact that some sites don't follow convention and do funky things.