Mendix 2.4 doesn't support anonymous sessions, as you've noted. In 2.4 this severely limits your options for performing signup inside an application.
The most obvious answer would be to use webservices - concurrent sessions aren't limited there. If you are using a different application or page for signup you can call back to the Mendix application by invoking a webservice that handles the registration of a new user. If you are operating off of the same hostname you can even use JavaScript to invoke the webservice and handle everything inside that page.