MTR explicitly removes the anonymous users 36 lines below this. Its easier if it doesn't install them in the first place.
Since 736afe8 the mysql_system_tables_data.sql only installs the anonymous user if skip_auth_anonymous IS NULL. Installing anonymous users is prevented by setting this to 1.
I hesitated removing "DELETE FROM mysql.user where user= ''" because the install from 5.0/5.1 made it look like mtr was designed to be run against any version. It probably can be removed in an non-GA after this is merged.