I'd be okay with letting people change them FROM anon but not TO anon.
One time I was on a question where the OP was just using the posts to bitch at and block everyone. She eventually decided to go anon and her behavior got even worse because apparently everyone would forget who posted it? It was HORRIBLE.
I thought it already allows it. Once or twice I posted things then realized I didn't make it anon. So I went and looked at the post, clicked the three dots on the upper right side and it had "Make Annon." Unless you mean in replying to some of the answers? Then yes the ability to chose for some of those might be nice.