Firstly: Nietzsche and nihilism
I think that stating that “Nietzsche was not a nihilist” is too simplistic, and not entirely true, his positions on nihilism were complex, and it could be argued that he was a nihilist, or at least aimed to be one.
Nietzsche saw nihilism as the most extreme form of pessimism, something that comes from weariness and an alienation from values. When one can recognize the existing value systems as meaningless and empty, and not replace it with anything, they become nihilistic. He saw nihilism as both positive and negative, as “... one of the greatest crises, a moment of the deepest self-reflection of humanity. Whether man recovers from it, whether he becomes master of this crisis, is a question of his strength!”
I think that it is helpful to first point out the two different types of nihilism you find in his works, the idea of passive nihilism and active nihilism. The passive nihilist is the one who could not recover from this crisis. It is a state in which a person, after having recognized that all external values are empty and have no true authority, begins to find their own internal values meaningless, giving up their own authority. With /all/ sense of authority gone one gives in to the spirit of hopelessness and fatalism, ridding themselves of all responsibility. They withdraw from the world, give up.
But it is possible (and Nietzsche argues that it is entirely desirable) that this recognition of external value systems as meaningless can give way to a sense of rebelliousness, and strength. This active nihilist seeks to destroy any and all remaining traces of an empty value system. The strength of one's will is tested by whether or not it can recognize all value systems as empty and meaningless, yet admit that these lies arise out of the ego and serve a purpose; whether one can recognize that value is necessary for life while denying the existence of any universal truth.
Nietzsche saw this nihilism as a means to achieving an end, not an end in and of itself. It is simply one step in the revaluation of values. Nihilism is a necessary to destroy what exists now in order to create a place in which the ego/the will can truly take power and assert itself fully.
As anarchists we /are/ fighting to rid ourselves of the existing value systems (the capitalist values of “money above all”, the Christian values of “self-sacrifice, and god above all”, etc), and many of us already feel that alienation from these values. What we can take from his active nihilism is the deconstructive nature that gives way to construction, a destruction that strengthens and empowers. The realization that we need not only destroy what exists, but transcend it. Nietzsche calls anarchists (and Christians) out on their apparent inability to do this: “There is a perfect likeness between Christian and anarchist: their object, their instinct, points only toward destruction. . . . both are decadents ; both are incapable of any act that is not disintegrating, poisonous, degenerating, blood sucking ; both have an instinct of mortal hatred of everything that stands up, and is great, and has durability, and promises life a future.” However, I don't think that this is permanent.
Second: What anarchists can learn from Nietzsche's rejection of the slave morality.
Anarchist are some of the strongest adherents to the slave morality, Nietzsche even said so outright. Our whole outlook on life, the way in which we function within this world is based upon reaction, /resentment/. We view people/events/etc with through the eye of "good vs evil". We look for that which is "evil" (capitalism, police, etc) and define anything that isn't that as "good". We do not spend much time focusing on that which is "good", but rather are obsessed with the "evil", we revolve our ideals/projects/lives around it. How is the US anarchist ideas of "evil" much different than the Christian sin, or devil; how different is the anarchists' end of capitalism from the Christian apocalypse, anarchist ideals from heaven? We have become the perfect (pitiful) disciples of our /own/ slave morality.
And while Nietzsche argues that /all/ morality is something to be destroyed, if anarchists are going to have a morality we would have something to learn from the master morality. Maybe we would get somewhere constructive with our ideas if we began focusing on what was "good" for us, what bettered us, our projects, our aims is certainly more productive that focusing on what is not our enemies, labeling all that is opposed to our enemies as "good", spending our time dissecting "evil", learning about "evil" in order to learn what is not evil, to better understand how we can be not "evil". But we /could/ strive to go beyond morality entirely. . .
Well, this is long enough, so I will end it here. But I think that Nietzsche's critiques of anarchism can be taken as constructive criticism, and can be learned from. I do not know much about anarcho-nihilism, but I hope that it does not fall into the pit of passivity.