I have the same behavior on 3.5. I also was wondering if it was a bug or a feature.
If I remember right, I modified the embeded template to check by hand if the viewer had the right to access the object. At the end, I gave anonymous the right to access the media section anyway ;)
Have a look at the bug report, I might have filled one at that time.
Don't know... have to test...or wait until someone report it as a bug ;)
X+
P.S. I've updated the template and the code to get rid of some really annoying error messages (mostly when no object where selected in checkbox list mode) on pubsvn.
