Cone-Beam Computed Tomography (CBCT) is a widely used 3D imaging technique in dentistry, providing volumetric information about the anatomical structures of jaws and teeth. Accurate segmentation of these anatomies is critical for clinical applications such as diagnosis and surgical planning, but remains time-consuming and challenging. In this paper, we present U-Mamba2, a new neural network architecture designed for multi-anatomy CBCT segmentation in the context of the ToothFairy3 challenge. U-Mamba2 integrates the Mamba2 state space models into the U-Net architecture, enforcing stronger structural constraints for higher efficiency without compromising performance. In addition, we integrate interactive click prompts with cross-attention blocks, pre-train U-Mamba2 using self-supervised learning, and incorporate dental domain knowledge into the model design to address key challenges of dental anatomy segmentation in CBCT. Extensive experiments, including independent tests, demonstrate that U-Mamba2 is both effective and efficient, securing first place in both tasks of the Toothfairy3 challenge. In Task 1, U-Mamba2 achieved a mean Dice of 0.84, HD95 of 38.17 with the held-out test data, with an average inference time of 40.58s. In Task 2, U-Mamba2 achieved the mean Dice of 0.87 and HD95 of 2.15 with the held-out test data. The code is publicly available at https://github.com/zhiqin1998/UMamba2.