I think Anne was sad at Kellynch. Obviously she was not on the same plane as Elizabeth and Sir Walter. The only person she could really talk to was Lady Russell with whom she'd had considerable number of seemingly normal conversations.

However, IMO she spoke more with Mary because they got along better with each other than Anne did with older sister Elizabeth. She was also more comfortable with Charles Musgrove, and by proxy (or out of politeness), his bubbly sisters.

As for Lyme, IMO the reason she seemed to be a bit more at ease is that the crowd was more "her type" - they're not snobbish like Sir Water or Elizabeth. They're more ordinary. Also, she was with Mary and Charles. The Harvilles were nice people too. And something about the air by the sea, etc.

As for Capt Benwick, she felt sorry for him, and empathized with his loss for someone he loved dearly, because she too had suffered loss herself. Although Wentworth was still alive, she grieved the death of their relationship. I believe she was sharing with CB what helped her cope.