25% acetone, 25% ATF, and 50% mineral spirits is what I use as a version of "Ed's Red" bore cleaner. I always have at least a pint of it around for gun cleaning. I've found it to be an excellent penetrating oil. I'm not surprised to read what was mentioned above about the acetone/ATF mix.
That said, I wouldn't want to use anything like this that's going to creep past the threads into a potable water system.
I'd just leave the anode in place and forget about it.
If it really started grating on me, I'd buff off the loose rust on the outside with a wire wheel. Then I'd warm it up a bit with a propane torch and dab an old candle around the threads. The melted wax will draw into the threads. Then tighten it a bit before trying to back it out.
The rust on the outside is no indication of what's going on inside the heater. It is simply water seeping past the threads and causing the plug to rust. The anode itself is only going to corrode to protect the shell where there may be holidays (pits) in the internal coating.
If you ever pull an anode out and it looks like new that means it wasn't doing anything for you. Either there are no holidays in the tank lining or it was electrically insulated from the shell because someone used too much thread sealant when installing it.