"If someone grants anonymous access to a space, then all "registered/non-anonymous/logged-in" users can view that space too. It doesn't make sense if a logged in user to have less permissions than an anonymous user. That means, Confluence only cares that the anonymous "view" permissions have been given to that space and that the logged in user has 'can use' permission."

The WARNING message in the space should be enhanced to further explains the above scenario. Ideally, it should says:

WARNING: Anonymous users will not be able to view this space, because they have not been granted the global 'Use Confluence' permission.
You can grant anonymous access to Confluence from global permissions.
NOTE: logged-in users, if not explicitly granted permission to this space, will receive the 'anonymous' rights below"