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A module does not have anonymous rights by default, you have to set your anonymous users group up to be allowed to see them.
Go to Admin Sytsem->Groups->Anonymous and choose the modules you would like to be displayed to anonymous users.
It is set up this way to allow the administrator to setup the module and it's blocks and do all the work that is needed behind the scenes before releasing the module content to the public. This way, when you finaly go to your groups admin, anonymous users see things they way they are intended to be shown, not empty or incomplete based on what you want to display immediately after installing your module.
Good Luck!