I should have clarified (post 10). I prefer the rope-to-chain splice, even in the absence of a windlass, because there is nothing to catch on my hands or rope in the locker, and it is smoother over the roller. No shackle to mouse.
Some would argue it is harder to remove the anchor. For what purpose? If it is to end-for-end the rope, cut it with a knife. The splice has seen some wear anyway. The last link of chain, the shackle, and the thimble are probably worn as well. If it were spliced, just cut off the last 5 feet or rope, the last two links of chain, and re-splice. End-for-end it too, if you like.
Having used a rope-to-chain splice on my last boat for 15 years, I see no difference in durability.
With a windlass I actually prefer the irony splice/long chain splice. It is much smoother around the gypsy. But it is a more complex splice.
But there is no strong reason not to use a thimble and shackle if you like. I just like the smoother profile of the rope-to-chain splice.