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Do studies on community-scale inequality show that state-scale inequality cause social/health problems?

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No, community-scale and state-scale social processes can't be conflated

The Equality Trust states that the well-established psychological stress of a tangible sense of social inferiority directly causes social problems:

Lastly, as the different chapters in our book show, many of the causal processes leading from inequality to the various health and social problems are already known. For example, the effects of social status on health have been demonstrated among monkeys in experiments which kept diet and material conditions the same while altering social status by moving animals into new groups and the effects of chronic stress on the immune and cardiovascular systems are increasingly well understood. Similarly, violence is more common in more unequal societies (where status competition is intensified) because it is so often triggered by people feeling looked down on, disrespected and humiliated. - The Equality Trust source: http://www.equalitytrust.org.uk/why/evidence/frequently-asked-questions#causality

However they also state that:

Research on relative deprivation has found that if you ask people who they compare themselves with, they usually say it is people like themselves – such as neighbours, friends or relations... But a review of nearly 170 studies found that ones where inequality was measured in small areas were least likely to find a relationship between inequality and health - The Equality Trust source: http://yoomoot.com/why-is-there-a-close-correlation-between-inequality-on-a-large-scale-and-socialhealth-problems

These statements seem to undermine one another. On the one hand they are saying that our psychological sense of self-worth is informed primarily by our immediate community (not strangers) and on the other hand they are saying that community-wide income inequality has little impact on social problems.

At the very least, I would say they have failed to show any evidence that state-scale income inequality affects people's sense of status more than community-scale income inequality, which is a crucial part of their theory.