When granting anonymous users space access without granting them use-confluence access in global permissions, confluence should warn you that anonymous users will still be unable to access the content. Without a warning, it is all too easy to get confused over why I have granted anonymous access, and yet users are still asked to login.

A warning on the space permissions page when this occurs would resolve this - such as "You have set permissions for anonymous access on this space. You will need to grant anonymous the use-confluence global permission."