Do the following:

1. To build site and make dashboard reports for each project
mvn clean site 

2. To generate aggregated Report
mvn org.codehaus.mojo:dashboard-maven-plugin:dashboard

This should produce some Checkstyle warnings in the Dashboard Report.
Click on "Checkstyle Report Summary", the link to "Dashboard Broken Link Example Module1" points to "module1/dashboard-report.xml#checkstyle".
Deploying the site with mvn site:deploy will put that report in "dashboard_broken_link.module1/dashboard-report.xml", since "dashboard_broken_link.module1"
is the artifact id. Dashboard Report seems to be generated using the file system structure of the submodules.