If one uses a 3rd party MTA (SMTP2GO, Postmark, etc.) and SPF, DKIM, DMARC are all passing, this shouldn't require an Exchange connector, correct? It's not an Anonymous send if it's passing SPF and has a valid Return-Path.
In the last Direct Send blog post, it mentioned the following about the context of Anonymous:
"The sending domain being an accepted domain in your tenant is a straightforward and easy condition to evaluate. For the sending domain, we are talking specifically about the P1 Mail From envelope sender address here. The P2 From header is not checked by this feature. “Anonymous” in this context means that the messages are not attributed to any mail flow connector when they are sent to Exchange Online."
The 3rd party MTA's RFC5321.MAILFROM (P1 Mail From envelope sender) is using the same domain that is listed as an accepted domain in Exchange Online.