I tried to reproduce the error, but, alas, without luck.
I started with a fresh Sitefinity project, added an aspx page to my solution, put a CreateUserWizard on it like so:
Then on the Sitefinity UI, I went to
Administration > Permissions. Global Permissions. Who can...
I selected Manage Users - the Everyone radio button.
Then I logged out, went to my page, and created the user successfully as anonymous.
I have tested this both on the RC2 version of Sitefinity and on our latest code version. Without setting the permissions for Manage Users (i.e. leaving the default "Administrators only"), I got the exception "You are not authorized...".
Could you please try this simple scenario on your system and see if it works similarly for you?
If it does, what is it that you do differently?
If it does not, could you please provide us with your database dump, and a copy of your Sitefinity web solution?
the Telerik team