It's been a few years since I worked in a lab, but I've gram stained a lot of hospital cultures. While I haven't worked with anthrax, I have stained its Bacillis cousins many times. There is no mistaking the staining characteristics - it's a strong positive. If it's coming up Gram negative, they're dealing with a different critter. There are MANY Gram-negative rods, including most intestinal flora.
Or they aren't staining it right, improper timing or over-rinsing. I don't know if the spores make it a little harder to stain with Gram stain.