melosu, I used to have a female Hutchii anthias. I thought the same thing about feeding bigger bites of food like frozen mysis, brineshrimp, formula 1 pellets and formula 2 flakes (took me a couple of months to get her into eating pellets and flakes). Often times, she will only eat 6 or 7 mysis or pellets and be done for 1 feeding. Once in awhile I'll catch her trying to consume more pellets than usual but just to spit them back out a few minutes later. If I'm not mistaken, I recall reading something about anthias' stomach is smaller than other "active" fish. That's another reason why they require multiple feedings.
Best of luck to you with your anthias! I'm planning to get a small school of anthias for my tank too