OK, I have some notes:

The pipe trick would work well in this case, with [[#Y|]] being treated as [[#Y|Y]] -- because that's almost always what you want to do -- and perhaps [[X#Y|]] being treated as [[X#Y|Y]]. Currently, both of these remain unparsed. I found it rather annoying to continually type in [[#Y|Y]].

In a preview, an internal [[#Y]] link links to a URL with <&action=submit> and everything. We know that some browsers interact badly with the back and forward buttons in article previews (neither Netscape nor IE uses these buttons correctly), which is why we had to introduce all that page cache stuff. This could exacerbate things, with people hopping all over a previewed page. Instead, these links might link to the ordinary URL, the same as a link of the form [[X]] [[X#Y]] (even on the page [[X]]) does. (I'm less sure about this one.)

-- Toby