JamesKehrI did a packet capture indeed, I can see NULL auths sent from my PC. The server then maps these requests as anonymous/guest.
I have posted the issue here with a screen from Wireshark too.
https://answers.microsoft.com/en-us/windows/forum/all/my-w10-pc-is-sending-anonymous-unauthenticated-smb/2e80b71a-67f1-4ea7-a4e9-085fbcba8e33?auth=1
(nobody has replied maybe too technical for that forum?)
After deep investigation I have discovered that most of these calls were made by my Antivirus (Avira Antivirus) scanning network paths, but File History (the backup feature of Windows) is producing the exact same errors. So ultimately there's something wrong with Windows when doing SMB on my behalf.
I've reproduced the issue several times in VMs with clean install and different Samba servers too.
There's something wrong here and I don't know how to report this to Microsoft.