Anti-seize is important, in my opinion, only when you have stainless screws threading into stainless nuts, or aluminum into aluminum. Otherwise, you're just applying the lube to the threads to make it thread smoothly and minimize the chance of water/salt contamination and corrosion.

Somewhere on the net there is an article by the people that make those bicycle frame couplers about galling and seizing and the proper grease to use to avoid it. I don't know enough about how those couplers are constructed and work to say for sure, but I infer that there must be some stainless part to part contact that can be troublesome. That's not a unique problem.