Since commenting is (or should be) possible for anonmyous user, anonmyous user should be allowed to create a thread. (When entering the 1st comment to a page, a thread-node is created in the pagecommenting-Forum-Node).
Note, that anonymous-user has the role "forum-pagecomments-user" - which should be sufficient to create the thread.

On EE, with multi-site and or multi-locale, it is even required that anonymous can create forum-node.