Did anyone else notice that Cecil didn’t answer the implied question:
If I remember my grammar school lessons correctly, there would not be a hyphen in anal retentive, either in that sentence or the original (as one is an unmarked quotation of the other). Multiple word adjectives are usually hyphenated when used adjacent to nouns, but not when used as a predicate adjective. Thus, a person would write, “The poster is anal retentive,” but, “The anal-retentive poster spoke endlessly on hyphens.”
If a hyphen is required at all, that general rule is correct.
However, the words “anal” and “retentive” are both adjectives themselves, so the reader is unlikely to mistake “anal retentive” as anything but an adjective, so the hyphen really isn’t necessary.
A hyphen can prevent confusion when a noun is used as part of an adjectival phrase. Examples that come to mind are “bargain-counter tenor” and “big-ass hole punch.”