Nothing's wrong. You just need to look a little deeper or use the Anchor Point Tool.
There's the Layer Transform Anchor Point (what's showing in your screen shot) and the Shape Transform Anchor Point.
Let's say your Shape Layer is a Rectangle that you drew with the Rectangle Tool.
If you expand the resulting Shape Layer you'll see "Rectangle 1" under the Contents. If you expand "Rectangle 1", you'll see Rectangle Path, Stroke, Fill and Transform: Rectangle 1. If you expand "Transform: Rectangle 1" you'll see that you have Anchor Point, Position, Scale Skew, Skew Axis, Rotation and Opacity just for Rectangle 1 while also having the five Transform options for the Layer that you're used to: Anchor Point (against, showing in your screen shot), Position, Scale, Rotation, Opacity.
If you select the layer name, you'll see the Anchor Point for Transform.
If you select the path name ("Rectangle Path 1" in this example), you'll see the Transform: Rectangle Anchor Point.
Leaving everything as is, animate the Transform: Rectangle 1 parameters rather than the Transform Parameter.
This is the same for either the Mac version or the Windows version.
***Or...
Hold command while you double-click the Anchor Point Tool while the Shape Layer is selected to set the Transform Anchor Point to the center of the Shape path (control double-click on Windows). Then animate the Transform parameters.
-Warren