To match against an application layer (or content) GW needs application information.
There are cases where all application rules may be filtered out due to other columns or objects (source\destination\service) - on such cases the match can be done without the application information.
To gather application information GW needs to inspect connection data (i.e: TCP\UDP payload). If data does not exist (for optimization reasons browsers often opens empty TCP connection or empty SSL tunnels) GW will end in an "insufficient data" state.
Note that on cases where all potential rules (determined according to all none data dependent columns\objects) are drop rules connection will be dropped without inspecting the connection to determine application matched on the connection.
Regarding your specific problem. I do not have the full picture of your rulebase.
You can try changing anonymizer and cleanup rule to be with a drop rule without usercheck action (on such cases above drop logic should be applied).
Another option is to customize services of Anonymizer category to be more specific (e.g: web services).