Yes it would be nice if we could all just use our given names and be absolutely forthright — but we know that the world isn’t like that.
Anonymity means that people are more likely to say what they think, without fear of consequences or retribution — it’s hard to overstate the value of this unfettered dialogue. Retribution could come not just from governments (although that is a big concern) but also from spiteful citizens.
Just as there are people who will use twitter to verbally abuse others, there are those who will phone potential employers & newspapers in your area to say “Look what this person did and said” — in an attempt to socially shame and exclude them. This gives power to the herd, who love power, but frequently do benefit from being told what they don’t want to hear
If nothing else, internet anonymity allows me to say what I believe, which is a massive relief, as I imagine it is to others. It probably aids the mental health of the world — though it may not appear that way exactly at times :)