Also, if you select a URL from the drop down below there's no way to un-select it, which is a bit annoying.
What I'm trying to do is to insert a series of modules that have anchor links to subsequent modules on the page. While having custom full URLs is really useful in general, it would really enhance this functionality to be able to use a hash.
Quick update - I couldn't solve this, and don't know if the inability to use hashes in custom links is intentional or a bug.
Instead I added Advanced Module Manager, which adds a 'before' and 'after' field to every module.
I was then able to do my 'stupid anchor' technique in the 'before' section, which involves absolutely positioning a named anchor above the containing element, where the height is the exact height of the fixed header.
The 'after' section was set with the code to create the down buttons.
Not quite as neat a solution as I'd hoped, but it works. I'd still be interested to know if we should be able to use anchors within the custom link section.