Part of the problem may be due to the fact that anonymous users aren't logged in.
From Bob's Guides:
Here are some things to remember:
In order for MODX to do anything user-specific, the user has to be logged in, so MODX knows who the user is.
Although for your purposes, you want to use the anonymous user group to show protected resources so you'll have to protect those resources if you want to use ACL's for your logged in users who do have access.
An option might be to password protect the documents instead, and I think there's an Extra that will do that now but I haven't explored it yet. However, this will change your plan for the site as those resources can't be protected with ACL's if you want to show them in the menus.
Maybe someone else knows how to write a snippet to override the protected pages being shown with Wayfinder or GetResources so you can show the protected pages. I'm not able to help with that, sorry.