Anthrax is a biological weapon not a chemical type. The sole portal of entry there is inhalation, so yes, any sort of mask would help.
The Bhopal incident was really an industrial accident of huge volumes of a corrosive gas. It wasn't designed to kill folks. Wet towels work there, they also work in a housefire to prevent death by smoke inhalation. The problem with Bhopal was that the wet towels protected the mouth and lungs, but they didn't protect the eyes. Contact with the fumes almost instantly destroyed the eyeballs and so the victims stumbled around until the fumes made their way into the lungs with fatal results. A mask would have obviously helped in that accident.
And at the fringe of a sarin or VX attack wouldn't a mask reduce toxin loading?