How to reproduce:
Run

mw.messages.set('test message', '[[#anchor|label]]');
mw.message('test message').parse();

at a wiki page.

Expected output:

"<a title=\"#anchor\" href=\"#anchor\">label</a>"

Actual output:

"<a title=\"#anchor\" href=\"/wiki/#anchor\">label</a>"

This makes it impossible to form anchor links from messages, while such use is natural when it comes to JavaScript tools. I've stumbled upon this in the Convenient-Discussions tool.

I'm aware of the limitations of using the messages API in JavaScript, but I believe this feature is important for scripts and not so hard to fix.