Should all page links be included into sitemap

You don't need to include bookmark links into your sitemap. They are used for websites like forums and single page websites to help users navigate - but they are not different pages. If Google has the page URL, they will find these bookmarks anyway. That being said, Google will always use the page without the bookmark as the canonical (link shown in Google search).

For example, my answer will have a bookmarked URL. The forum can wrap this in structured data to tell Google "this is the answer" and Google may provide a shortcut to click on in the SERPs, but the main URL will always be "https://seochat.io/question/should-all-page-links-be-included-into-sitemap/82", not #...

You don't need to include bookmark links into your sitemap. They are used for websites like forums and single page websites to help users navigate - but they are not different pages. If Google has the page URL, they will find these bookmarks anyway. That being said, Google will always use the page without the bookmark as the canonical (link shown in Google search).

For example, my answer will have a bookmarked URL. The forum can wrap this in structured data to tell Google "this is the answer" and Google may provide a shortcut to click on in the SERPs, but the main URL will always be "https://seochat.io/question/should-all-page-links-be-included-into-sitemap/82", not #...

I will also add if all your pages can be navigated to via links within your site then there is no requirement to use a sitemap at all. 

The only time it becomes necessary is when you have orphan pages, for example, pages that can be only found via a search on the site. In order for Google to find these pages, they do need a sitemap as google bot is not able to type and find these pages.

If you have external links to these pages then that helps but that requires users to post links on other sites which is something you cannot control. 

So if your site structure is good then having a sitemap will not offer you any benefit. 

The purpose of the XML sitemap is to tell the search engines about all of your content.

Sitemaps are an easy way for webmasters to inform search engines about pages on their sites that are available for crawling.

If you have a lot of content you can use multiple XML sitemaps.