I made a respawn anchor and it worked well. I decided I wanted to move it so I broke it and placed it elsewhere in the nether. I then charged it with glow stone and then right clicked the anchor noting the "respawn point set" text did appear. I then jumped in some lava to test the point and respawned in the over world. I received the message, "Your respawn anchor was out of charges, missing, or obstructed"

I have been able to repeat this multiple times now and can't seem to spawn anywhere but world spawn in the over world: 

Steps to troubleshoot:

1) Removed/replaced the faulty respawn anchor and charged it

2) Set respawn point on new anchor

3) Jump into lava

-still respawned at world spawn instead of at anchor

4) Walked about 100 blocks from world spawn and placed a bed

5) Sleep in bed verifying "respawn point set" message received.

6) Jump into lava

-respawned at the placed bed as expected

7) Return to the Nether and locate the respawn anchor in question.

8) Verify the anchor is still full of glow stone (it was)

9) Set respawn point on new anchor noting "respawn point set" message did appear

10) Jump into lava

-still respawned at world spawn instead of at anchor or bed.

11) write this bug report.

12) wish the dev's luck in fixing this bug.

Good luck fixing this one. I hope it is soon as this kind of issue renders a major 1.16 feature very unreliable and frankly useless. I can also attest that this issue is only present in Bedrock edition. The respawn anchors have been working great in Java. No surprise there.

P.S.

It is important to note that I was setting my respawn point while in creative and then switching to survival to jump in the lava. I tried on a whim afterwards to set the respawn point in survival instead of creative and it started working as intended. I was afterward unable to re-create the issue even when setting the respawn point in creative again. 

I don't know what changed but it seems to be inconsistent.