An administrator or a moderator can warn Anonymous or add feedback for the guest user
mcp.php?i=notes&mode=user_notes&u=1 is valid
mcp.php?i=mcp_warn&mode=warn_user&u=1 is valid
and you can enter Anonymous in the user notes and warning main page.
Not sure if there is any sense... we cannot ban the Anonymous user.
For me, it's a bug, although it's somewhat trivial.