I totally agree with TSBB 2. Ok, well, partially. Masthead anchor light doesn't make sense to me either, because when you're tucked in to a cove, most people you need to worry about running into your boat at night are power boaters, who tend to be looking more or less at horizon height, not masthead height. So, hanging some light off your backstay or boom or some height roughly 10' above water surface sounds good to me. Also, that light is likely to illuminate the boat itself, making it stand out more, like: "Hey, this is indeed an anchored boat, not just some light up on shore!"
What I would do, rather than the Davis Megalight, I would buy a Marinebeam LED anchor light, which really looks exactly the same. Why? Just because Marinebeam has a reputation of being the best LEDs for boats. And also MaineSail says they are the best LEDs for boats.
http://store.marinebeam.com/utility-led-anchor-light-with-dusk-to-dawn-photocell-sensor/
But, yeah, effectively, I completely agree with TSBB 2.