It is not possible to give a site message to an anonymous visitor. An anonymous visitors information (email, name, and etc.) has not been captured yet. So, there is not a way to track, or make note of, the event occurring.
In order to give a site message to a visitor their contact information must be known in ActiveCampaign.
I understood something else from the product announcement (they even mention explicit that it is possible to message to unknown person and first time visitors).
I finally learn from your reply that it is not possible to give a site message to unknown visitors and will add this as an idea to feedback and ideas as it would provide a big value and is very easy to implement just to bring a site message to everybody (like a conditional form).