I don't believe it's unlawful if not marked, just not advisable.
Never anchor your boat in the area below a dam
A sudden surge of water can pull a boat under and sink it before you have a chance to pull up the anchor and move to safety.
http://www.tva.com/river/hazwater/safe.htm
Never anchor your boat when fishing below a dam; leave your boat motor running even if drift fishing.
Here is what I found with a quick search, I'll look a little more. You won't find me anchoring below a dam.
http://www.tva.com/river/hazwater/
I think the TVA does this so when someone does anchor and their boat gets swamped and sinks to the bottom, and the members aboard have to bail they can say "hey stupid we told you not to do that".
Boating Near Dams—Beware!
Never anchor your boat in the area below a dam. Never anchor your boat from the stern. A sudden surge of water can pull a boat under and sink it before you have a chance to pull up the anchor and move to safety.
http://www.boat-ed.com/tn/course/p4-...soperation.htm
In the above statement they could see it as recklessness and charge you will reckless operation of a watercraft.
Jeremy