Yes, anonymous user sessions are captured. We'll keep track of anonymous users and aggregate their sessions from the same browser into a single user (for example, User 123) via cookie.
At a point in your app flow where you can positively identify a user, you can choose to use our Identify Users API call. Once we know who a user is, we'll add their anonymous sessions under their identified, unique user id. You should not use our Identify Users API call at a point in your page flow when users are still anonymous or guests, since you don't actually know who they are yet.