This is such a complex subject really, since we're having to work with a mix of changing sexual response due to HRT, as well as reimagining ourselves as sexual beings with a changing body, and also dealing with changes in our sexual roles.
When you consider how much of sex is mental and emotional, and considering the various changes we are undergoing as we transition, perhaps it's no surprise that anal sex with a dildo might not work for you.
I have found that anal sex can be an ecstatic exprience, certainly on a par with "traditional" sex, and that was because my boyfriend and I enjoyed an extremely close mental and emotional intimacy which made the experience more valuable than five minutes of friction.
Also, as transwomen, I believe we should not totally deny our physical inheritance when it can work positively for us: for better or for worse there's a prostate hiding down there, and stimulation to it can greatly heighten sexual pleasure.
Like many of us, I am looking forward to vaginal sex, once my bits are appropriately fixed, and would hope that it becomes my primary sexual avenue (ahem!), but I'd certainly not turn down anal sex from time to time - it feels good when done correctly with the right person. Like all sex