I have found what I think is an issue for the permissions you need to set for Advanced Forms v Basic Forms specifically for anonymous users.
Basic form - (No issue)
Custom entity allows anonymous users to create new requests. Only table permission needed for anonymous is create. This works.
Advanced Form - (Issue)
Same custom entity. This time two tabs on the form. Each representing a step. In order to navigate between the steps (next and previous) you need to also add the Write permission. As this is anonymous and subsequently global, I am concerned that I'm opening up the internet to edit all records in this entity. I am not exposing a specific form for edit but I'm still concerned this could be compromised.
Additionally (may be related or not), when you save the record source of step 2 to be data from previous step it does not save.
Note - my preference is Advanced form with steps as this works better for a form with lots of fields.
Conclusion
The conclusion that I draw is that if you want to use a form for Anonymous then you need to not use Advanced as this requires the write permission that allows edit on all records!