It appears that Apple have removed the ability to enable Allow apps downloaded from: Anywhere from within System Preferences.
Fortunately, it’s easy enough to enable with 1 line in a terminal window. This line will enable and set the Allow apps downloaded from: preference to Anywhere.
sudo spctl --master-disable
Once you’ve run the command, close down System Preferences and then open it up again.
Please note that if you change your preference back to App Store or App Store and identified developers, the Anywhere option will disappear and you’ll need to run this command again.