"Not well supported" in this context means that you can lose data (as commits that are not reachable from a ref can be garbage collected). Mind you, you have to ignore warnings/errors to get there, but without ignoring them, you also won't be able to actually have anonymous branches.
> (And, I might add, probably not by Hg either if it requires enabling an extension...)
It does not require an extension. The `show` extension that Greg talks about is a smart log display, which shows a contextual log for your current work. Anonymous branches have been part of Mercurial from the beginning, long before the `show` extension existed.
For what it's worth, it's not so much that Mercurial supports it, but that Git doesn't. Git is rather unique in its setup in this regard. No other VCS that I know of uses garbage collection and in particular branches to prevent revisions from being garbage collected. (Some may require you to name branches for other reasons, but not so you don't lose commits.)
It's probably also worth noting that we have an implementation detail leaking into user space here. Git uses what is essentially purely functional data structures underneath to achieve atomicity in the absence of an actual database engine [1]; a different implementation, such as on top of SQLite, could avoid this.
[1] Atomicity here is not about locking, but about a transaction being interrupted by the user or an external event, such as a shutdown.