Hi,
Unfortunately, there's nothing JoomSEF can do about this. The problem is that VirtueMart doesn't use absolute URL for its AJAX request for state / provinces box, so it requires the website base to be root URL. That way however the anchor links that are also not absolute start linking to the homepage.
So the correct solution is either to fix VirtueMart to use absolute URL for its AJAX request, or fix your anchor links to use absolute URLs.
Another option would be to manually change the SEF URL in JoomSEF that is used for the shipping address selection to contain only one level. For example if the SEF URL is:
domain.com/store/checkout/shipping
You need to change it to:
domain.com/shipping
That way the AJAX should work even with the "Set page base href value" option set to "Yes - always use full SEO URL" and you anchor links should also be working.