As suggested by the name, the anonymize tool is used to make the PDF documents anonymous, i.e. to clear all the metadata information they can have. This way, no one can trace back and know what tool was used to make the document, or its components, on what date, or whatever critical information may be present in the PDF file.
PDF Files contain more than one place where metadata information can be stored. The tool options allow a selection of the metadata objects to be cleared.
The Info Dictionary and Document XMP are equivalent and contain the standard and custom document metadata information fields. They are separate because the files place the information in two different places. The Info Dictionary comes from the beginning of standard PDF documents , while the Document XMP (Extensible Metadata Platform) is a new type of object, created by Adobe, that allows scanning of the file metadata using tools that don't know the internal file structure needed to discover the old version Info Dictionary. This type of metadata object can be embedded in almost any type of file types, and this is the goal of it.
The Components XMP corresponds to metadata that can be attached to any PDF component, as Images, Vector graphics, etc, and normally contains information from the tool used to create or edit that component.