Hello Abira,
I will assume this is a traditional web application (by the screenshot).
If not, let me know.
You have the anonymous set, and you don't have a preparation.
No security exception should be triggered in this scenario when trying to hit this screen.
Do you have an On Session Start system action implemented that is verifying user roles and triggering a security exception?
If you have, this could explain this behaviour.
Can you check the Logic tab to see if this server action is implemented?