It's only worked once in many games.
The rest of the time, clicking on the Anchor Icon, only makes the Icon disappear, the ship can still move.
It's a real pain, when you want some ships to stop, and wait for others to catch up with them.
I have only been able to anchor a ship once. It seems that I get the anchor mouse cursor any time my ship is moving at speed 1 or 0, no matter whether the water is deep or shallow. But trying to actually anchor is a different matter - even in shallow water with the ship stopped, I can't drop the anchor.