Anonymous users almost never have userpages, especially on those wikis where they are not allowed to create non-talk pages. Since an anonymous user is just an IP address, the concept of an "anonymous user page" is rather a strange one.
Anyway, right now when an anonymous user signs a comment, the resulting link points to their user page; this almost never exists and thus shows a not-very-useful red link to where their userpage would be.
The user's talk page, on the other hand, is far more likely to exist, and their contributions list is, if they have signed an edit, guaranteed to contain at least one item.
Linking anonymous users' signatures to either of these things would be much more useful than the current arrangement. It would also somewhat parallel the situation with page histories, where anonymous users have a contributions link in the place a registered user has a user page link.