Since Spagirl didn't want to post an answer, I'm going ahead and writing one.
Anarchists are generally non-religious and frequently anti-religious.
You can read more about anarchism and religion on Wikipedia (with many references), but this is the essential point: that anarchists are typically opposed to religion. This would explain why they don't know the details of how religion works, which is what the Reverend Morell is complaining about:
PROSERPINE. Another lecture?
MORELL. Yes. The Hoxton Freedom Group want me to address them on Sunday morning (great emphasis on "Sunday," this being the unreasonable part of the business). What are they?
PROSERPINE. Communist Anarchists, I think.
MORELL. Just like Anarchists not to know that they can't have a parson on Sunday! Tell them to come to church if they want to hear me: it will do them good. Say I can only come on Mondays and Thursdays.
The Reverend Morell engages himself to give lectures to a great many groups and organisations, but only on Mondays and Thursdays. On Sundays he is in church, not on call for giving lectures elsewhere. He seems quite put out that people might not know this, but from anarchists it's less surprising.