This happened on my community yesterday. A regular user was marked as logged in anonymously on the /online list, despite only Administrators being allowed to do so.
Double checked, all of the groups the user belongs to (primary or secondary) have "Can login anonymously?" to Disallow.
Not sure if it's a /online list display glitch or the user really was anonymous, but it really did happen - got a screenshot as a proof.
Today the user appears normally, not Anonymous.