They do. Just add #msg then the post number to the thread url like
A completely non-standard scripted way of doing it, but it does work. I just looked at the source code of a page in the past and found no "in page" #'d bookmarks.
When I searched for the capability on WW I did find a post from 2005 [webmasterworld.com...] mentioning using a message offset into the specific thread versus a specific unique post number. [webmasterworld.com ]
The second link is formatted like this: "/forum19/2415-4-10.htm#msg37," That seems to work too.
If WW just embedded links one could copy from each post this would be a classic example of a page linking to itself many times for a completely legitimate purpose.