I have quite a few of those and they are a pain, yes. I've figured out a way to handle it on calibre however it doesn't change anything on the kindle. What I do is add the anthology file to calibre multiple times. (the number of books that are contained within the anthology) Then I rename each file as the individual books. It doesn't change the contents of the file, each book is still the full anthology but at least I know what books are in my library. That way if I've only read one or two books in the anthology I can mark them read and rate them.
Anthology - rename as book 1
Anthology - rename as book 2
Anthology - rename as book 3
It can be a bit clunky but it is better than nothing. Also, now with the new ability to rename DRM books coming with the next calibre release you could essentially do the same on the kindle.