Let me pose another scenario, as I am trying different things to get this to work.
I am trying to anchor this third party asset (in layer called "X") to an NGUI widget (in the "NGUI" layer). I do this by adding a UIWidget component to the third party asset, then setting its transform to the NGUI widget's transform. Sadly, this doesn't seem to work either. No matter what I do, I get it in the center of the screen, rather than where I want it (lower right of the screen). But at least it works. Just doesn't seem to be anchoring properly or something. Shouldn't this be possible, or no? Do all anchored assets need to be in the same layer as the NGUI stuff?
Thanks!