When links are broken into pages (via the settings in WordPress) and the link to bring a user to the comments is clicked it doesn’t just scroll users down the page, it brings them to a separate page that is created.
Yes; this is standard WordPress functionality. Paginating comments results in paginated posts, with an appropriate query string parameter for the current comments page.
However, in this case, a separate page isn’t being generated, because the post doesn’t have enough comments for them to be paginated. Note that the only difference lies in the anchor ( #comments ) being appended to the URL. I concur with @Milo that this is a CSS/markup-related issue.