I would definitely do something about that soon. The anode spinning will cause wear on the saildrive housing and prop, not to mention rapidly wear the much softer zinc itself, which will soon break apart, leaving you without anodic protection. It could even wedge itself between prop and housing sideways causing real damage.
It doesn't have to be an immediate liftout though, if you want to bodge it until then, apply some underwater epoxy putty (plumber's supply shop, £5 - belongs in every boats spare part locker) to fix the anode in place - but you'll have to make sure it still has electric contact to the saildrive housing, which may be tricky. Next time, put some medium strength Loctite (blue) on those bolts (and the one holding the prop cone).