A first possible solution is to give the "View any product of any type" permissions to anonymous. Here is a relevant screenprint about it:
Another solution is to disable SQL rewriting within the Advanced > SQL Settings section of the view. This can have security implications if your using contextual or exposed filters.
For more info, refer to comment nr 5 or comment nr 6 of the issue about "Views results empty for unprivileged user when using Relationship: Content: Referenced Product"