Anonymous users work just like regular users, except these users are not stored in your dashboard. One of the primary reasons that users are sent anonymously is to avoid having a lot of unauthenticated users polluting the user dashboard. Another reason is to avoid sending PII, but we recommend the use of private user attributes if that is the case.
There are some cases where you do need to generate a unique key for anonymous users. If you are targeting users individually by key, using LaunchDarkly's A/B testing feature, or the Analytics Data Stream you would want unique keys. You also want unique keys when conducting percentage rollouts. For that reason, the general documented advice is to treat the anonymous users like regular users and assign unique IDs.
If you do not have a need to uniquely identify your anonymous users, you could use a shared key for these users.