You might use Sigil to look at the ePub source and see if the anchors are indeed placed where you'd expect them to be. There might be a mild wackiness in the anchor placement that the ePub readers ignore but that the mobi reader is more finicky about?
Also, although you may already be using this, I'd suggest using
Kindle Previewer to see how mobi files "officially" display on the Kindle. That's saved me a lot of time.