Agent Anchor never went into the back room after I told him about Lamb sending me so I could tell Joey to get the anchor from the statue. So what now?

Everything works just like it should be. Anchor doesn't like Lamb so he doesn't go to the back room, instead you should tell him that someone else sent you (you'll get that name bit later in the game).

Ah thanks. Will try that.

I had exactly the same issue. Looks like a bug. What helped is setting "scriptvar anchor_speech 0" and "scriptvar anchor_count 1" in debug console.