Yes, you're right, though I'm not quite sure what to do about it. The theme options (and various other places where you can select a URL) will check that the URL is valid by trying to fetch it.
This is good in that it prevents problems where things unexpectedly don't work due to an incorrect URL. But in the case of a disabled site, none of the assets can be fetched, and so the page will say that there's an error on that URL.
I think the URL checking is a useful feature, and probably people don't edit disabled sites all that often, so I'm inclined to leave it how it is?
Thanks
Joe