The short answer: if you are particularly concerned about anonymity, then yes, enable it AND use a VPN. But be aware some people may consider this leeching, because anonymous mode may compromise your ability to upload (and download) to some extent. But there are some circumstances in which this is entirely justified.
Public tracker scenario
For most people using public trackers, just a VPN without anonymous mode is fine and recommended, and gives you the maximum speeds in this scenario, while giving you an adequate level of protection from your ISP (if configured correctly). If you do enable anonymous mode, then you'll likely find your upload/download speeds are slower, mainly because DHT & uPnP are typically disabled. And anonymous mode without a VPN is NOT recommended.
WARNING: anonymous mode doesn't provide strong privacy guarantees on its own. If you are concerned about legal authorities and copyright trouble, for example, consider using a VPN instead (or in addition to it).
Private tracker scenario
If you are using private trackers then you would usually not be using a VPN or anonymous mode because many of them explicitly ban such things so they can track your download/upload ratios server-side against your IP address to ensure you are following their policies. While some private trackers allow exceptions to this (e.g., you may be able to get a dedicated VPN IP address whitelisted for your account after signup), many don't.
I'm not claiming to be any great expert on this topic, and so this is just my general-level understanding. If anyone wants to contribute any useful expert info or to correct anything I may have wrong here, please feel free to comment.