I'm sorry, part of the problem is that autosol exptl_fobs_phases_freeR_flags_1.mtz file does not retain the anomalous information. This is now on my list be fixed (not quickly though because I will be able to do it only when I convert a whole lot of other things).
But doesn't AutoSol write another MTZ file that is anomalous? In one of my directories I have this:
exptl_fobs_phases_freeR_flags_1_with_anom_data_with_hl_anom.mtz
which definitely has F+ and F-. (I'm not certain whether this actually appears in the GUI or not - if not, sorry, that's a bug. And it may not be propagated to other programs either, which could also be misleading.)
So in your case the best thing is to run phenix.refine with your original mtz file. You can create a freeR set in the GUI.
I wouldn't recommend creating a new test set - it is just as easy to combine the anomalous data from the original MTZ file with the R-free flags from exptl_fobs_phases_freeR_flags_1.mtz in the reflection file editor.
-Nat