What anchors to use on walls with rigid foam insulation behind the wallboard?
The plywood is robust enough that I'd hang your shelves on that with wood screws. If they're very heavy, hit the plywood and the studs. You may get some bending of fasteners, though, due to the span to the face of the wallboard, so use fairly heavy screws (#10 or better). 

I see no reason to anchor into the masonry. By the time your screws pull out of the plywood you'll have serious damage to the drywall anyway. That's unlikely unless you go nuts with the decorative plates and load your shelves to an absurd degree.