It will work like this if for those sessions user tag will be unavaiilable. You have to be sure that all anonymous are logged in. Another thing it’s that if you are taking user tag value from place that is not accessed by all singed in users, it also be like in you case. What rule you are using?
If you use a CSS Selector that is only on a specific page for example, the user tag is only picked up if the user visits that page.