You've had a female Anthias alone with no other Anthias in the tank for a month? Chances are she's not fully female any more... And she views the new male as a rival now. Anthias can change from female to male if there are no males present. She may not look male yet, but there is a good chance she is genetically. If they don't sort their tiff out, your best bet will be to return the new male and try adding another female....two more, preferably.