This button works equally well with links to other pages, other sites and to sections further down the page that you are on. The latter can be verified by clicking on the menu item 'Anchor'.
The Dropdown button has been created using the Dropdown feature found among Site Designer's Form elements. Therefore the links have to be created as 'options' in the Element pane. And please observe the attribute found there.
The dropdown button can also be styled and used together with e.g. buttons or button links in a navigation menu.
The image is a demo for the anchor in the dropdown.