Hi aliasger,
I did a similar step in one of my projects. Capturing a screenshot at failure step can be taken care by framework.
Steps I followed.
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1) In the variables section @{URLList}= Create List
2) In the test case set global variable ${URLList}
3) Identify Bad Url
${url}= Get Location
log ${url}
Append To List ${URLList} ${url}
log ${URLList}
set global variable ${URLList}
With this you can get all the failure urls. If you want screenshot here, take the failure url and verify in the report