What is an "Anonymous User"?

"Anonymous User" refers to files which were shared via anonymous link from OneDrive or SharePoint.

When sharing a file through OneDrive or SharePoint, you can control the level of access by choosing one of the following link options:

Specific People - Link allows access only to people who have been specified
People with Existing Access - Link used to re-share a file someone already has access to
Anyone in your Organization - Anyone in your organization can use the link to access the file
Anyone with the Link - Anyone can access the file using this link

The first 3 options are used when a file should only be accessed by specific users. The last option is an "Anonymous share" or rather a share with an "Anonymous user". Once that link is generated, anyone can use it and there is no way to monitor or control access.