The weapon is given to Fulgrim, and Fulgrim is later possessed by the entity within. So the anatheme is obviously a daemon weapon.
That was the Laer sword not the Anathame.
As for the Anathame being a daemon weapon, well we don't know - but I don't believe it's hinted at anywhere. The best clue we get is from A Thousand Sons
where Magnus witnesses the creation of the Anathame blade. It's described as a 'Nemesis weapon' and 'sentient' and undeniably forged by aliens. But there is no hint to it being possessed. I think it's likely just to be some incredibly advanced xenos design.