It's a "too many steps for Windows authentication" problem. (There's a more formal name, but this one's more expressive.)

Natively, Windows can only pass authentication one step, e.g.: client to server, or server to server. It can't pass more than that, e.g.: client to server to another server.

Any time you see that anonymous login error, you're probably looking at this issue.

It can be solved. Look up "kerberos" online. Or use integrated security. Either one works.