First thing I thought off. It means the application you are logging into does not know who you are but Facebook does get to know you are logging into that app.
Whichever way you look at it your privacy is better protected if one party knows rather than both parties knowing, so this is definitely a win if you already use Facebook. If you don't then the new option is irrelevant.
Facebook's pitch is to developers, not users.
Some users will think they remain anonymous when in fact they are authenticated to Facebook.