Ability to look at only user sessions where user tag is NOT Anonymous.

[waikeat_chan]

Or alternatively, simply give users the ability to use negation or wildcard when viewing/filtering user sessions.

[ChadTurner]

You could Use the User Session SQL to filter out everything that is not Null:

SELECT userId FROM usersession WHERE userId IS NOT NULL ORDER BY userId ASC

Let me know if you need any assistance!