Well speaking from a psychological and fiction theory point of view, I'd say that the idea of anal probing is there to make the aliens in question seem more menacing. It conjures up thoughts about sex and rape in a quite obvious matter, which is intended to make people feel uncomfortable since it's not particularly "normal" from the post-modern, pseudo-christian point of view to associate alien entities with sexual thoughts.
One franchise that used this quite masterfully was the Alien franchise, where the surrealist H.R Giger designed the alien creature which in some ways SCREAMS sex, but still in very subtle ways which work wonderfully to creep into the unconscious mind as it isn't too obvious.
Long time fans will have probably noticed the way that the xenomorphs elongated heads look uncannily similar to a penis from the right angle (which was even more clear in the original paintings of H.R Giger). And the "facehugger" creature conjures up thought of rape and oral sex the way it violently forces down an ovipostor in the throat of a helples victim to plant an embryo in the chest.
Anyhow, the main goal is to make the viewer feel discomfort in order to introduce an element of fear. If there's no aspect to the alien or monster that makes you feel uncomfortable then you're not going to think that it's scary.
Anyhow, if we're going to look at the practice of anal probing from a hypothetically alien scientific point of view, I guess it could be used as a way to explore the intestines much in the same way a doctor does with a colonoscopy. After all, the only other way to examine them would be to actually open up your test subject, which have a high chance of killing it (especially from an alien point of view, I mean if they study the human species as a previously "undiscovered" species then they would do best to be careful in their examinations instead of immediately slice their test subjects open and start poking away at our internal organs).
So to put it simply, perhaps they are just interested in seeing our "plumbing" and "waste management" facilities without actually killing us. And that means: anal probing.
Although to be fair, when it comes to real world "abductees" who claim to have been probed anally I'd go with the more rational explanation that they have some kind of sexual anxieties that manifests in vivid nightmares about alien creatures probing their rectum than try to speculate on what kind of scientific merits such a procedure would have from an alien point of view.
Also, if you think about it, it's not exactly a coincidence that most of these traumatized supposed "abductees" describe having been subjected to procedures like anal probing and the drilling of teeth. Remember, when it comes to the more or less educated public perception of science and meicine, colonoscopies and invasive dental work at the dentist are associated with rather common phobias in most societies.
After all, going to do a normal health check-up isn't so bad according to most people. But when they get the word from their doctor that they have to undergo a colonoscopy or the dentist tells them that they have to drill the cavities in people's teeth, A LOT of people are overcome with fear. Some are even so scared of these procedures that they would rather spend their lives without adressing these helath issues and suffer the consequences for it rather than going to have it fixed.
So it's not really surprising that supposed abductees claim that the scary aliens perform these exact procedures which are surrounded by so many phobias and stigma in our society, is it?