To prepare lamb, combine the first 4 ingredients in a large zip-top plastic bag. Add lamb to bag; seal. Marinate in refrigerator for 12 hours, turning bag occasionally.
Remove lamb from bag; discard marinade. Sprinkle lamb with salt and pepper. Place on a grill rack coated with cooking spray; grill 30 minutes, turning to cook all sides, or until a thermometer registers 145° (medium rare). Remove from grill, and let stand 20 minutes before slicing.
To prepare dressing, combine 1 tablespoon rosemary, 1 1/2 tablespoons juice, 1 tablespoon oil, and anchovies in a small bowl, stirring well with a whisk. Serve with lamb.