The Anchor behavior keeps objects positioned according to the edges of their bounding boxes. Rotating an object enlarges the bounding box, and so the Anchor behavior will adjust the position accordingly, which won't keep it centered.
It should be straightforward to work around though: you could anchor an invisible non-rotating object, and pin the rotating object on top of that. Or just don't use the Anchor behavior, and position the object with events according to the system viewport expressions.