Hi,
Sorry, this question fell through the cracks. Apologies.
Don't be distracted by the phrase “put into an opponent's graveyard from anywhere”. A similar phrase is used on some triggered abilities (like the legendary Eldrazi from Rise of the Eldrazi) and signifies that we look at how the card looks in the graveyard, not the previous zone. But that doesn't apply here, because Anafenza has a replacement effect, not a triggered ability.
Since it's a replacement effect, we look at what the card looks like before it moves from the battlefield, not after it would move. In this case, Glory Seeker and the Banner are creatures before they would go to the graveyard, so Anafenza affects them and exiles them instead of having them go to the graveyard. Herald of Torment and Ensoul Artifacts are auras at the time they would go to the graveyard, so Anafenza does not affect it. It doesn't matter that the Herald would be a creature in the graveyard, what matters is that when it would go to the graveyard, it's not a creature (it's an aura), so Anafenza doesn't affect it.
This is also addressed in Gatherer:
Anafenza’s last ability cares only what the card would be in the zone it’s moving from, not what it would be in the graveyard. For example, if a land card you control becomes a creature due to an effect and then dies, the land card will be exiled. But if a creature card with bestow is an Aura when it would be put into the graveyard, it ends up in the graveyard.
Nathan Long
Wizards.Com Boards NetRep