This question has been answered by Wilbo. See the first response.
Go to System (gear icon) -> System Settings. Put anonymous in the "Search by Key" field and press Enter.
Search for anonymous_sessions in the modx_system_settings, it on page 6 for me
What version of MODX are you running?
FYI, the major changes to MODX are in the x.x.0 versions, so you probably skipped over the version that added those settings.