If I understand correctly anti-discrimination laws mean that an employer cannot legally refuse to hire you, fire you, or treat you unfairly on the job like they cannot do because of your race or religion (for example). They do NOT mean that they have to cover transition-related procedures under their health insurance.
Before anyone complains (even though I understand my opinion may be unpopular on a personal level here), remember that unlike laws that prohibit discrimination on the job because of particular characteristics, there is a tangible reason why a company should not be forced to pay for medical procedures that are not of an urgent medical necessity.
Another example is that a company cannot discriminate against a Jew on the job, but there is no requirement that their health insurance pay for the circumcision of their workers' sons. The same logic can apply to smokers as well - IMO companies should not be allowed to refuse to hire, fire, or treat you differently on the job because you're a smoker (as long as you don't violate the company's policy against smoking on their premises or at their functions) but I'd support them allowing smokers to be charged more for their health insurance.
When it comes down to an ENDA passing by a razor-thin margin, I think it should not be written to force employers to have another additional tangible expense that would not exist otherwise. (Deep down I think we need to completely eliminate the connection between employment and health insurance, but that's a discussion for another time.)
ETA: It appears in your case it's the company's non-discrimination policy rather than a law - but the same principle applies.
