E.,
This is the expected behaviour since every FrameMaker version I know.
The shortcut was invented to shrink Anchored Frames around equations, and those are usually place inline. The anchor itself is not "gone", since the Anchored Frame is positioned "at insertion point" there is no need for a separate anchor.
In conjunction with a dedicated paragraph format with a non-fixed line height setting it is a great way to shrink frames. Of course not, if you need your frames to stay at a certain width.
- Michael
PS. You should nevertheless update your FrameMaker installation to 9.0.4 (aka 9.0p255).