Steps to reproduce:

Goal: Make a link that results in [[Special:Preferences#mw-prefsection-editing]]

1. Type [[
2. Paste in Special:Preferences#mw-prefsection-editing
3. "Insert" the link.

Result: It looks like it produced [[Special:Preferences#mw-prefsection-editing|Special:Preferences]].

However: It's not what I want, and it's also not what I'm going to get when I save the page:

So:

4. Click inside the link area (inside the blue/context menu showing).
5. Paste #mw-prefsection-editing

Result:

However, the resulting wikitext will actually look like this:

So I'll try this: I'll type some words in the middle of the link, and paste the #mw-prefsection-editing into the middle. Then if that works, I should be able to backspace over the text that I don't want, and be happy (until I remember that the link is broken underneath, even though the context menu says it's perfect).

Result:

(Or You can change these preferences at any time, by going to [[Special:Preferences|Special:Preference test]]#mw-prefsection-editing[[Special:Preferences|test s]] if you add "testtest" with no spaces in your test.)

Workaround: Go back to wikitext.