I know Anemones move until they find a spot they like so I guess trying to confine it may not work. At this point I would say leave the circulation pump off until he decides to put down roots, so to speak, and then turn it back on once he finds his spot.
The other thing you could try is to put a mesh bag, like one that you would use for carbon in a filter, and tie it around the circulating pump (as in put the bag over the pump and secure it). It will still allow the flow but the anemone won't be able to get itself stuck. Have you tried rotating the pump head so it isn't blowing directly on the anemone?