While I have not found a work around for getting the wizards to run properly with anonymous access enabled, the code generated by the wizards seems to be running fine with anonymous access enabled.
Thus, it makes sense that if the business requirement states that intranet users who are logged onto a production SharePoint server as anonymous will be able to access certain select portions site, this can be done - it will not break K2 code. However, you will not be able to complete the SharePoint wizards on this production box, instead run the wizards against the development server (where anonymous access is not enabled) and simply export them to the production server when tested.