Does anyone value rationality for its own sake, enough to give up anticipation if it turns out to be irrational, purely on intellectual grounds?

You don't make a conscious decision to give up something like that, if it needs giving up. You learn more, see that what you once thought was sense was in fact nonsense, and in the moment of realization, you have already lost that which you never had. Really this is the wrong way to phrase the question: you should properly ask, "If the idea of anticipation is complete nonsense and all our thoughts about it are mere helpless clinging to our own confusion, would you rather know what was really going on?" and to this I answer "Yes."

If someone offered to tell me the Real Story, saying, "Once you learn the Real Story, you will lose your grasp of that which you once called 'anticipation'; the concept will dissolve, and you will find it difficult to remember why you ever once believed such a notion could be coherent; just as you once lost 'time'," I would indeed reply "Tell me, tell me!"