Marv,
First off, welcome to the forum!

I don't think ANACS will do it either. Since both the regular proof and uncirculated coin can be purchased separately, they don't know if your set was actually the orginal set, which is must be to their satisfaction in order to give the 20th anniversary set sticker. Give them a call and see what they say. They seem to be willing to do things that NGC and PCGS won't. You never know.