I just recently came across the same problem. It seems hiutil is broken on Mojave.
My build script was set to use the local hiutil, so my anchors weren't working either.
I wound back to the High Sierra version of hiutil and everything sprang into life.
I did some tests:
chris$ which hiutil
chris$ hiutil -V
hiutil version 2.0 (60)
I've got an external caddy with all my older OS versions on:
chris$ /Volumes/High\ Sierra/usr/bin/hiutil -V
hiutil version 1.3.2 (55)
I created a temp dir and bunged some test files in.
chris$ hiutil -Caf test.helpindex ./testdir
chris$ hiutil -Af test.helpindex
"There was a problem unarchiving the index file."
Doing the same with the High Sierra version of hiutil works fine:
chris$ /Volumes/High\ Sierra/usr/bin/hiutil -Caf test.helpindex ./testdir
chris$ /Volumes/High\ Sierra/usr/bin/hiutil -Af test.helpindex
I can't get the Mojave version of hiutil to read back my anchors under any circumstances, regardles of which version of hiutil created the helpindex file.
Took me a while to find this as the only symptom you get presented with is that the Help system can't locate the help resource.
I've built a test app that incorporates my main app's help and explicitly launches the help, using a UI button to open a page at an anchor.
I'll try calling an older hiutil from an xcode build phase.
Hopefully this will solve the problem.
I built a test app using Xcode 10 on Mojave.
Anchors don't work.
The app works fine on High Sierra.
I checked the contents of the helpindex file using hiutil -D and it's fine.
Conclusion (the same as yours): anchors don't work on Mojave.
Look me up on the internet and send me an e-mail. I'm "etresoft".