You are correct that applying the 0.4 factor on the design strength of anchors is similar to applying a 2.5 overstrength factor on the force demand on the connection. One major difference is, in the load combinations with overstrength factor given in ASCE 7 Section 12.4.3, only the horizontal seismic effect, Q_E, is multiplied by the overstrength factor. However, when reducing the design strength by a factor of 0.4, you are essentially applying a 2.5 overstrength factor on the total demand, not just the horizontal seismic effect.

ACI 318-11 Appendix D actually revised this requirement in two ways to make it align with the ASCE 7-10 seismic load combinations with overstrength factor:

(a) The actual overstrength factor, Ω₀, is applied, rather than a flat 2.5 factor, and
(b) The overstrength factor is applied to the seismic component of the anchor forces, rather than the total load on the anchor.

Note one difference exists between the ACI 318-11 Appendix D requirement and the load combinations in ASCE 7-10 Section 12.4.3. In the ASCE 7-10 load combinations, the overstrength factor is applied to horizontal seismic load effect, E_h, only, not to vertical seismic load effect, E_v. In ACI 318-11 Appendix D, however, if the force demand on an anchor system is caused by E_v, it would still need to be amplified by Ω₀.

So, the answer to your question is: no you do not need to include the redundancy factor, ρ, on the demand side of the equation, because you are already considering an overstrength factor. In fact, ASCE 7-05 and ASCE 7-10 Section 12.3.4.1 Item 6 tells you this specifically.