Oh, I thought you wanted to put a class on the link to the anchor, not the anchor in the page.
That’s Tinymce creating the page anchor as a link tag plus ID, no href. (It’s valid, but kinda ugly imo. Technically any element on the page with an ID is an anchor, so why use a link tag when it’s not actually a link.) Redactor lets you use IDs on any element as anchors.
Anyway, Tinymce does have a setting called
visual_anchor_class that allows for a custom class on anchors, which I think is exactly what you’re looking for. Don’t know if your Tinymce extra allows for configuring it though. Probably TinymceWrapper would.
Edit: nevermind it looks like that class is only for the appearance within the editor window.