This issue is about the fact that Confluence anchor macro calls are transformed in XWiki macro calls (with name anchor) but the parameter of the macro from confluence is lost, so it's not possible to create an equivalent macro in XWiki to do the same thing.
More precisely (running on XWiki 8.4.4), the following content from the Confluence export:
What I would expect is something like
allowing to rebuild the anchor macro.
Of course, if the anchor macro can be replaced with the XWiki macro that corresponds, it's even better, but it's not mandatory. All that I need is to have the name of the anchor parameter somehow passed to the anchor macro.