Normal behavior. Open the info palette to see exact values while moving the anchor point. It's this way since moving the anchor would affect other properties like position, scale and rotation as well as parenting and re-calculating them all on the fly could cause massive slowdown as well as unpredictable behavior.
OK, thanks. Just curious: has this always been the case - even in previous versions?
I'm sure I've seen the Position & Anchor point numbers both update live when dragging the Pan Behand Tool in the Comp panel.
Maybe I was imagining it... : o