Just ran that exact code snippet on WP 3.3 to test. In practice, <a href="#">test</a> is rendered in the markup correctly, but the browser will attempt to navigate to http://example.com/current-page/# when you hover over the link or click on it.
This is the expected behavior of a link like this … so unless you have other code on the page that’s actively changing the links, this is what I’d expect to see.
Tested under both Chrome and IE just to make sure I wasn’t crazy.