Thanks for the feedback, Brian. So I spent a good part of the day investigating this. I created a document with just one of my chapters and then added about 50 index entries. When exporting to ePub, I got another “page anchor not found” error. I whittled down the number of index entries to less than ten and still got the error. However, the number of the anchor in error changed as I did that. Once I was down to six index entries (and still getting the error), I cracked open the ePub and looked at the files. No problems with the index entries. The links in the index itself were all there, and the anchors in the chapter were also all there. So the index is good, and the chapter is good. I’m coming around to the same conclusion as you, that although InDesign throws this error, it does not indicate a bad ePub.
My book is also pretty complex and large, with about 1,500 endnotes and I expect a similar number of index entries when I’m all done. It is maddening that the endnote links are missing the destination file when exporting an ePub with the spilt document option, but I can fix that at the end of the process. I am also aware of the problem with index entries spanning multiple pages, and I can fix that, too. My big concern is wasting time constructing the index in InDesign, only to find out it is corrupted. I guess at this point I’m reasonably confident that that is not the case, so I will keep going.