NOTE: You cannot creat new sites under anonymous access; if you click Create Site you will only see the web part's exception handling in action. To see it work, you need to have some rights to the site. I'm still trying to figure out how to grant limited rights to anonymous users within Office 365, but so far it looks locked down pretty tight. You can allow anonymous users rights within normal SharePoint sites, but Office 365 provides a subset of normal SharePoint features.