It appears that the right answer is provided by user3149240 above. However, As Neil Watson pointed out, the applicationhost.config file is at play here.
The changes can actually be made in the VS Property pane or in the file albeit in a different spot. Near the bottom of the applicationhost.config file is a set of location elements. Each app for IIS Express seems to have one of these. Changing the settings in the UI updates this section of the file. So, you can either change the settings through the UI or modify this file.
Here is an example with anonymous auth off and Windows auth on:
<location path="MyApp">
<system.webServer>
<security>
<authentication>
<windowsAuthentication enabled="true" />
<anonymousAuthentication enabled="false" />
</authentication>
</security>
</system.webServer>
</location>
This is equivalent in the VS UI to:
Anonymous Authentication: Disabled
Windows Authentication: Enabled