Solved.
Reading the code in plugins/system/t3/includes/admin/megamenu.php
$query->where('a.id in (1,2,3) or a.title = ' . $db->quote('Guest')); //we only support Public, Registered, Special, Guest
I noticed that for displaying "guest" ACL items in menu, I MUST create a new access level and a new user group called "Guest". Other names are not allowed: it's not trivial
Greetings