I don't remember one way or the other in terms of the actually concert billing/advertising. But I do remember that it was generally known that the band were intending the tour as a whole to be partly a celebration of 20 years of Dream Theater, which is why every show on the tour was structured to play something representing the Majesty period and every album, in addition to being structured to feature the Octavarium album and concept.
But I think maybe we're just being overly pedantic about what it means for something to be an "anniversary tour."
EDIT: But I guess OYE311's post clears that part up.
As far as others, I know that when they were touring for Black Clouds, it was also understood that they were celebrating 25 years. Again, I don't recall whether those shows were officially billed that way, but I remember the 25th anniversary posters (I still have a bunch of those) and other swag. That was just an odd tour in that they didn't really do a separate headlining tour, at least in the U.S. They did Prog Nation and the opening slot with Maiden, and that was it.
Then moving forward to the next 5-year period, I don't recall the 2015 tour being officially billed as a 30th anniversary either. But, again, they had 30th anniversary shirts and swag, and their own official website has a photos page labeled "30th Anniversary Tour," so...
http://dreamtheater.net/photos/30th-anniversary-tour-2015/But I think more importantly, going back to the OP, for each of those, they didn't really do anything special in terms of the set, other than on the 8VM tour. No idea whether they will make a big deal out of "35th anniversary" for any upcoming tour," but I suspect not, since that isn't a number that people generally consider to be especially special. And it would surprise me if they did anything with the set list in honor of 35 years. But who knows?