Hello,
the problem MAY be caused by incorrect base href value.
Please see
JoomSEF FAQ: HTML anchors are not working, missing images or other resources - that might help.
However, there is one think I do not quite understand in your post --
you write that you are using pages - that means splitting one article into more pages, but the URLs are <url>/#page1 -> which means, that it is expecting achror "page1" within the specified URL;
so are you sure this is correct?
We are ourselves using article pagination e.g. here
http://www.artio.net/en/joomsef/artio-joomsef-version-history and it works fine with SEO URLs.
So I am not quite sure, if the problem you describe is directly related to JoomSEF.
Maybe you could provide more details - both about the URLs and how exactly you are creating the index.