We're in finance. Everything is naturally going to drop off significantly on the weekends because markets aren't open. However, the anomaly detection sees this as an anomaly even thought it's completely expected. Being able to exclude weekends would greatly increase the usefulness of this product.
That is an interesting idea that you may want to post on the Idea Exchange if you haven't already. Alternatively, you can leverage the flexibility of anomaly detection in report builder to visualize only the data points (in your case weekdays) that are relevant to your needs.