You have probably found the issue already, but have you checked to see if the subsites  have been published?

When you create a Publishing site  in Moss you will need to remember to 'Approve' the content. Most of the time you may get a security error in the case of a master page not being approved. In the case of subsites, you will need to approve them after you create them.

This situation is not really a case of anonymous  access. Anyone who is logged in that does not have contributor rights or above will see the same issue.