First, just to be on the safe side. The report type is "Web Activty Report" correct? I'm not so sure it is as you have a grouping by inferred company.
I'd create a new Web Activity report. Set it for XX time period so it remains relevant. And then in the smart list use "is anonymous" = true.
That works perfectly fine for me. What I suspect is that you instead have created a Lead Performance report, but since anonymous visits aren't leads the report is empty.