Hello,
I think you were on the right path with the "dummy" pages idea except that you do not need to have the users work with the URL manager. When you create the "dummy" page, change the URL, before saving the page, to the desired page+anchor. For instance, if I want an item in my menu named "History" to link to the history section on my "About Us" page, I would create a new page under the "About Us" page and set the URL to "http://mywebsite.url/about-us.aspx#history". This would make the link displayed in the menu open the about us page and move the browser focus to the "history" anchor.
I have a couple clients using this method and they seem to grasp it fairly well. One additional step I have given them is to use the anchors created by the modules instead of creating their own. I did this for 2 reason really, 1) to ensure the module title is shown if the section the link is pointing to is actually a module and not a set area of text within a module and, 2) one can't easily add an anchor to most of the modules (Feed Manager, File Sharing, etc...). The anchors created by the modules are simply the word module + the module id. To find the module id, hover over the settings or edit link of a module and you will see "mid=000" in the URL (where 000 is the module id). To create the link to a module with an id of 29, use "http://mywebsite.url/page-name.aspx#module29".
HTH,
Joe D.