You're kind of stuck - moving him is bad, but your lighting isn't up to snuff anyway even if he did come out.
anenome on the move
Anemones aren't the smartest critters in the ocean. When they get stressed, instead of trying to find what they need (more light) many times they'll crawl into a corner and pout.
Seems to me that your choices are either upgrade your lighting, give the anemone to someplace that has a better setup (the LFS
wouldn't even take it back with no credit?), or let it die in your tank. Sorry that there isn't an easy answer...