Does the anchor cause issues or is this just a suggestion for improvement?

In some (rare) cases, this may be useful to keep them: if the message contains links to some sections of it, e.g. if it contains some kind of ToC.

Does this empty span produce some issues on targeted wikis?

I’d avoid links to sections within the message: you cannot make sure that none of the anchors already exist on any of the talk pages the message will be distributed to. If an anchor already exists on a talk page, the link will point there instead of the one within the just-distributed message, since the existing one will be higher up on the page.

In T318257#8251187, @Nikerabbit wrote:

Does the anchor cause issues or is this just a suggestion for improvement?

It is a suggestion for improvement. Anchors are only visible if you edit wikitext, and some users like to have clean wikitext, with no extras.

In T318257#8251194, @Pols12 wrote:

In some (rare) cases, this may be useful to keep them: if the message contains links to some sections of it, e.g. if it contains some kind of ToC.

As the message can have two aspects (translated or untranslated) and is distributed "as is", I'm not sure of this use case.

Does this empty span produce some issues on targeted wikis?

I'm not aware of an issue, as I just discovered this today, and manually removed the anchors before sending my message.

In T318257#8251221, @Tacsipacsi wrote:

I’d avoid links to sections within the message: you cannot make sure that none of the anchors already exist on any of the talk pages the message will be distributed to. If an anchor already exists on a talk page, the link will point there instead of the one within the just-distributed message, since the existing one will be higher up on the page.

Good point: if one arrives on the wrong section just because of the anchors, it could be confusing.