The reasons for that preference are opaque to me.
Mr. A. who seems to have been associated with the Ministry of Defence was granted anonymity. See the entry for the afternoon of Wednesday 3rd September 2003 here: Hearing Transcripts.
The following quote from the Daily Mail article, David Kelly's closest female confidante on why he COULDN'T have killed himself, is relevant:
But in fact she stipulated: ‘If specific information [in the statement] is deemed relevant to the coroner’s inquiry into the death of David Kelly, I am willing for Thames Valley to reveal the information in a non-attributable way.’
If the primary barrier to Mai Pederson giving evidence was her desire for anonymity why not make her Ms. B?
Could it be that one reason for not proceeding in that manner was that Mai Pederson's evidence would tend to cast doubt on the comforting (for some) suicide theory?
[Thanks to someone for pointing this aspect out to me.]