Most typically, this term is associated with persons or policies which are extremely "uptight".
"It's so anal", is derived from the term "anal retentive", which is a term from Freudian psychology. Freud postulated that human beings go through specific stages in our childhood, one of them being the "Anal Stage". If a person doesn't succuessfully go through each stage (ie, experiences a major trauma during one of the stages, such that the stage is "interrupted" & person doesn't get to complete each stage without incident), they have problems in their adult life. Depending on when "interruption" occured during a specific stage, the adult will always struggle with certain issues relative to the interruption. If trauma or difficulty occurred during "Anal Stage", then as an adult, they may be, for example, obsessively meticulous. It is not necessarily a deficit. For example, if a person's job required them to be extremely accurate with numbers/figures, being "anal" would be a tremendous asset.
This having been said, there are many different schools of psychology; Freudian psychology is just one.
I hope this answer helps you to better understand the idiom, "being anal."