Shape Layers & Center Anchor Point

Note the difference in the Contents/Shape/Transform Shape properties. Any parametric shape will have a Transform/Shape property that is modified relative to the original 0,0 Anchor Point because the position of the parametric shape (Rectangle, Ellipse, Polystar, etc.) is calculated before the preferences reassign the Layer/Transform/Anchor Point. Unfortunately, when you use the pen tool (g) to create a path, no starting coordinates can be referenced to calculate the position change.  When you drag out a parametric shape (rectangle), the coordinates can be calculated from the first click to the last click. The pen tool can't do that because there can be any number of clicks, and to close the shape, the first and last clicks are in the same position. There is no way to calculate the Transform Shape/Position without knowing where the corner will be.

If you rotate your single open line using the Layer/Transform/Rotation property, it will rotate around the Anchor Point. 

I hope this clears things up for you.  I never have that option turned on in preferences because I don't want the Anchor Point fouled and position fouled up before I start anything. It's easy to center any parametric shape by simply resetting the Transform Shape/Position property.