menu item shown to anon users

This is a deliberate decision, and I may need to put it into the documentation (I thought it was, but it isn't).

MySite should be an incentive to registration. It's a "look what you can do if you register with us" feature. So we show the menu item to anons as a means of enticement.

See, for example http://myclaysun.com/ and the "What's New on MyClaySun" box in the top center.

For this to work best, you'd need to use theme overrides (http://drupal.org/node/55126) to edit the theme_mysite_create_help($owner) function. This function is merely a stub because I think it needs customization for each site (especially for non-English sites).

Is there a use-case for not wanting people to register with your site?

You can also disable it if you like under Admin > Menus.

So this is definitely a won't-fix. Closing.