There's not a way to prevent anonymous users from accessing the dashboard, but to keep them from accidentally getting there, we recommend creating a space that is used as a "landing" space instead of the dashboard. In Confluence's Admin Console's General Configuration screen, set the Site Homepage to that space. Then you can use Zen to create a more content-driven dashboard presentation (and more designed if you like).
In addition, Zen will use that space's home page for the top-level breadcrumb, and not display a link to the dashboard there, either.
Also, by default, Zen doesn't display the Dashboard link in the Toolbar, except to Admins (this can be overridden in your custom brand, via the brand designer's "Toolbar" panel by checking the "Show Dashboard Link To Regular Users" box).
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