a) Won't it always prefer to point to the nearest anamolie even if their are useable items closer?
In-game, I've always found that it's the closes usable object in space, INCLUDING MISSION TRIGGERS. It's been invalyable where there's no pointer to the next enemy group (some asteroid missions).
b) Is there any skill, item or type of training that improves my scanner ability?
No, but it really doesn't need to be. As it is, scanners cover the entire mission area and more... (there's a bug where a scan can point to a object that exists in the next mission area of a chain, as well as include it in the count of "anomalies").