1. I've edited anydesk config file:

   sudo vi /etc/anydesk/system.conf

   changing value of one of its parameters from 0 to 1:

   ad.security.interactive_access=1

2. Opened Anydesk by unprivileged user

3. Enabled unattended access and set password

As a result, it became enabled:

Updated: In current Anydesk 5.5.5 version run in terminal:

$ anydesk-global-settings

Then enter your current user password and set Unattended access. Now it saves it.

I think you should remove .exe and use sudo (tested at least on ubuntu 20.04)

# echo my-new-password | sudo anydesk --set-password

This worked for me: Setting the password using the command line https://support.anydesk.com/Command_Line_Interface

echo mynewpassword | sudo anydesk --set-password