Can you please confirm what setting in admin->spam? I have already tried various settings there before asking the question.
Are you talking about the setting "Use moderation for users with less than"? In which case, that setting works for moderating registered users but anonymous users bypass it.
If you are talking about "Use moderation if user not yet approved:", anonymous users bypass that too.
Are you sure you are not confusing moderation with captcha - captcha is enabled for anonymous users, but I'm interested in the admin being able to moderate the content of what anonymous users post before it is seen by public.