There is no "artificial" limit placed by Digi on the AnywhereUSB or Hubport regarding chaining USB hubs and USB devices, but there are limits like this by Windows and the USB specifications.
Reference: Appendix B of the AnywhereUSB Installation Guide:
http://ftp1.digi.com/support/documentation/90001085.pdf
Keep in mind that some USB devices have built-in hubs (I think these are called composite devices, but I could be wrong), so although they may appear on the surface to be "just a USB device", they could present themselves to Windows differently.
Still, even if some of your devices are like that, based on how you described the scenario, this seems to fall within spec, and it sounds like it might be a bug in the AnywhereUSB driver or firmware.
Exactly what devices show the yellow ! icon? You might want to look in Windows Device Manager too, for similar information. It would be helpful to know if these devices represent the 1) AnywhereUSB (RealPort USB), 2) Hubport (Generic USB hub), or any of the attached USB devices.