I haven't done much on the Internet Content Management side lately which is my way of getting in my apologies/excuses for not knowing about this feature (call it expectation management - I won't ask what your expectations were).
Another great session hosted by Andrew Connell and Spencer Harbar on publishing sites highlighted the use of the ViewFormPagesLockdown feature (click on 'lockdown mode' for the info). This little feature will stop anonymous users from accessing application pages such as page libraries and view site content. Which is very useful (and apparently not enabled on many big Internet facing SharePoint sites!).