The original novel does not feature the subplot of the actors playing the parts in a modern day film. The novel did, however, feature three alternate ending from which readers could choose their favorite. Creating two parallel story lines allowed the filmmakers to include two of those endings, one happy and one tragic.
The Cobb is the old harbor wall at Lyme Regis where we see "that scene" as Sarah / Anna stands on the harbor wall as the waves crash around her. It was deemed too dangerous for Meryl to get up onto the Cobb while the waves were crashing. So any distance shots actually have one of the art directors standing in for her. The close ups were done in the safety of the studio.