see https://docs.mendix.com/refguide/anonymous-users, which states:
Clean up objects that were attached to the anonymous user and that you do not transfer to the signed-in user. Since the anonymous user is deleted after running the sign-in microflow, you can use delete behavior to automatically clean objects that were attached to the anonymous user.
I’m seeing the same behaviour here (9.6.6).
Any new insights in the meantime why the Anonymous user objects are not removed automatically by Mendix?
Noticed it long time back and implemented the scheduled event to cleanup.
Indeed, was surprised that Mendix decided to keep the anonymous users intact.
Found the same behavior and needed the same solution like Nirmalkumar and Nick. So I took their advice and implemented it in the module SystemManagement that is available in the Marketplace: https://marketplace.mendix.com/link/component/113984/Tieka/SystemManagement.