It does not scale. It pops at the level when you open the chest. Best advice has been to bank your key till you get some serious leveling done then swing through sanctuary when proper time comes.
And my pestilent defilers will be the ruin of your anarchy!!! I only liked those if they came with the scope. Improved control/damage soooo much... I can understand how they could be some of the "best" guns on a siren build.. but my mordecai (ie hard mode) would usually kill stuff before they ever got into viable anarchy range...
I'm confused by your statement. You say that the chest does not scale, but then you say that it pops at the level you open the chest... which would be scaling.
I definitely keep a Defiler in my back pocket... I have a really really really good one and a really really good Hellfire, but a properly spec'ed Siren with an almost perfect Double Anarchy has the highest DPS in the game (w/ proficiencies, perfect class mod, skill distribution). I was able to kill most things with a single wall of bullets at medium-long range in Playthrough 2.5, and solo Crawmerax. Yes, the Anarchy's alleged weakness is extreme sniping range, but with Siren's Phasewalk that's never an issue... and I can still kill things from long range with a little more time because there's SO many bullets. You'd be surprised what "viable Anarchy range" really is. You also don't have to worry about elemental resistances.
Also, Double Anarchies will pretty much 100% daze with every trigger squeeze because that's four bullets per shot... good Anarchies have a firerate of at least 12.5 too.
Everyone has their preferred weapons, but the only amazing Legendaries are really: Hellfire, Defiler, Volcano, Ogre, Cobra (maaaybe a Pestilent Crux and Firehawk)... and you can still get bad rolls for those. My point is that purple guns can be very very good, and often exceed the strengths of the rarer guns. A good purple is rarer than a mediocre legendary anyway.