This feature has been requested for the past 5 years, as far as I can tell. I'm not sure why it hasn't been implemented: there is at least one third-party hackaround to do anchor links, and it's clearly an ongoing part of the users' mental workflow model.
Might be an exercise in futility, but here goes. I want anchor links to an external document. So, for example, I have a long and complex project list. Yes, each project could be composed of numerous individual notes, each "Copy Internal Link"'ed to the main project heading. But I'd rather have a list of projects with two or three subheads. When I click the subhead "Research consulting firms" it would go DIRECTLY to a document entitled "Research" and zip down to the "Consulting Firms I Looked At" heading. This is because it may not be worth my setting up a whole sublist of research notes by category, at least not yet: instead, a big "box" where I could root through a specific request and then ignore it the rest of the time.
This model is frequently encountered in workflow arrangement: see Allen's original 43 folders concept and Tharp's "project boxes," which are uniquely suited to complex, messy, indeterminate projects like creative endeavors (in art or business).