Unfortunately, it seems to be by design. If you look at the COM_Wishlist table it contains only UserID and cannot be assigned to contact (visitor). And it's not customizable. The problem is, all Public Anonymous users have the same account (= the same ID) so you can't store different wishlists for them.
You would need to develop wishlists functionality for anonymous visitors. And I'd recommend on register/login to move or merge items from your custom anonymous wishlist to Kentico out-of-the-box for User.