It is not a usual workflow to create customer profiles "by hand" even if the UI allows for this, the normal workflow would be when the user performs an action, the profile is generated, normally when they progress through the checkout process. At the end of the checkout, order, profiles and user are linked together in case of an anonymous purchase.
The same way you can't create a node and assign the author to an unexistant user, you can't create a customer profile and expect that the references appear magically.
Of course you can build a workflow that makes more sense to you and build a useful solution for your use case, one thing you could do is use Rules to generate a user every time you create an anonymous customer profile, but this will probably conflict with the normal checkout process as customer profiles are assigned to anonymous users when there's an anonymous purchase.
I'd create a boolean field attached to the customer profile that reads "Create a user for this profile" or similar and on the Entity creation event in rules, you can add an action that creates the user. You've got a very similar example in the default commerce Checkout rule "Create a new account for an anonymous order" for how to create an user.