No, IMHO all this behaviour is absolutely right and obvious.
Anchoring based on remembering initial control dimensions and container dimensions (or it's ratio). So it start working when container dimensions changes. for the form with scrollbars dimensions are Width and Height - and they are dimensions of inner visible area, not "the whole form", nor "form plus scrollbars" - you can easily test it - just put some control bound to ThisForm.Width and see how does it's value behave while scrollbars appearing/disappearing.

BTW the main goal of scrollable forms is having non-resizable controls layout (so I don't think anchoring must be used on such forms).