According to the excellent help file:
“In addition to the contextual menu items available with text selections in the document source, Markdown documents have a special command: Copy Section Link. This copies a link to the current document, but appends a pointer to the selected paragraph.”
Nope, it doesn’t append a link to the selected paragraph. It appends a link to the section header above that paragraph. A small matter, but it’s either a bug or an error in the Help file.