Sphinx documentation with m2r has missing links to sections in the same markdown file

[aajain-com]

I have a simple markdown such as

# My Test

- [My Test](#my-test)

When I run m2r directly on this markdown file I get the rst output as expected. However when using m2r via sphinx extension the generated HTML document doesn't have the link generated correctly. My Sphinx conf.py file has m2r_parse_relative_links = True set to true to follow relative links.