When does anchoring improve our judgement?
The underlying cognitive process that produces the "anchoring bias" in decision-making is the same one that produces the "primacy and recency effect" in learning and memory. Your attention is drawn to novel, salient and recent stimuli, and are more likely to learn about and remember more about the first example of something and the last (most recent) example of something. This means that you are able to learn and adapt faster than you would be able to under an unbiased learning method; in some situations, you can effectively generalize from only one example (you only have to touch a hot stove once). For real-world situations, this speed of learning gives you an enormous advantage. For an additional set of real- and abstract- cases, you will have the opportunity to revise and improve your anchored estimate with small or zero penalty. In all of these cases, having a fast-learning, pattern-seeking heuristic-based cognitive system beats a slow-learning but unbiased cognitive system (which you still have, running on top of the faster system).

It is less powerful in cases where you are doing abstract numeric reasoning (for which there is no plausible estimate) or are negotiating competitively with another person who is faster/better/more informed/able to deceive you through anchoring or other techniques. In these cases, the drawbacks of the system predominate.