it's been documented, and it baffles people because they technically should not be able to. i think it is being attributed to how closely related damselfish and anenomefish are
technically they are of the same family, Pomacentridae. after that they break off into different sub families, and genera. so basically they aren't classified as damsels, just semi related.
Damsels are anemone fish and supposedly have the same immunity to anemonies that clowns have, so it's not that hard to believe. Add to that their territoriality, and it's easy to see why they'd want to set up shop in an anemone.