It was anarchist in the sense of having no private enforcement of laws and no state as we would think of it. The Allthing, for example, had no power to declare war on anyone, or to call out a militia. It's worth noting, though, that the Norwegian king at the time didn't have a formal "power to declare war" either; what he could do was to say "right, I've had it with King Eirik, I'm going to take my fleet out and hunt him down"; and he could call out the leidang, the ship-muster, to support him in that expedition. There was nothing stopping a rich Icelandic farmer from having "had it with king Eirik" either, but there wasn't a formal militia organisation he (or the Allthing) could call up. The Allthing also didn't have any power to make people pay taxes, which the Norwegian kings did have to a limited extent - Harald Hardråde, for example, enforced his taxation powers by travelling through Norway with his army and "auditing" with fire and sword.

Iceland was not capitalist in the sense that Marx used the word; however, since there was no state, there was also no welfare state, no state ownership of anything, and no state regulation of any business practice whatever. The Gragas Law defines weights and measures, and presumably this gave those measures customary power, but there was no state enforcement. This presumably makes it "capitalist" in the same way that babies are "atheist" - by default.

You might find this essay on Icelandic law interesting.