The new infrastructure update to MOSS fixes the issue I got in Event Viewer, regarding the BDC. It said that anonymous users are not allowed to connect. It seems like this new update fixes that:
“When users are authenticated anonymously, they cannot use a Business Data Catalog (BDC). This update enables the BDC to explicitly let anonymously authenticated users access the BDC”
Read more here, I will install this update ASAP.