There is only one approved yacht anchorage in the Colon area and it is the F anchorage, also known as "The Flats". We have seen the port authorities run people out of other anchorages (outside of the Shelter Bay entrance for instance).
Anchoring is in as much as 30 or 40 feet of water and it is fairly choppy most of the time. On the bright side it is a short dinghy trip to the Panama Canal Yacht Club dock.