If I Have Anniversary Edition of Skyrim, Why in the main load screen is there a big X and a blurb that say anniversary edition upgrade or some such? I'm just wondering.

Uhm this thread has the answers, please read the first couple posts. You don't have Anniversary Edition installed, the Imperial Dragon emblem should be kind of golden and not the regular shade of black. See my attachment, the emblem should look like that.

Using a web browser, go to your games library and click the tile for Skyrim. If you don't have a DLC installers category at the bottom, then you don't own the Anniversary Upgrade (which is included with the Anniversary Edition bundle). If you do have it listed, then download and install it.

As for what you bought, review your past orders.