Hey, thanks for the detailed report. This is a known bug. Fragment links (#section) in the Markdown preview are handled incorrectly. Instead of scrolling to the right heading, the editor tries to open them as files.
Another user reported the same thing on macOS: Links of md files are not working on preview mode, so it’s cross-platform.
The team is aware. I can’t share an ETA yet, but your report helps with prioritization, especially the details about Windows behavior with paths like C:\README.md.