Here is a possible elementary and almost completely classical answer to my own question, but I don't know if it's right.
Hnizdo 2011 discusses the field of a dipole moving at $v\ll c$. He gives references to papers that discuss the ultrarelativistic case, but those are all paywalled. However, he points out that the electric and magnetic polarizations $(-\textbf{P},\textbf{M})$ transform in exactly the same way as the fields $(\textbf{E},\textbf{B})$. This means that in the special case of a Lorentz boost with $\textbf{v}\parallel\textbf{M}$, $\textbf{M}$ is invariant. Suppose we have a uniformly polarized body with some volume, and we do a Lorentz transformation out of the body's rest frame, parallel to the polarization. The polarization stays the same, but the volume shrinks by a factor of $\gamma$ due to Lorentz contraction. Therefore the dipole moment is reduced by a factor of $\gamma$, $\textbf{m}'=\textbf{m}/\gamma$, relative to the rest frame. I'm not completely confident of this reasoning, but it does agree with Hnizdo's low-velocity limit, which says that for motion parallel to the dipole, the moment is not affected to first order in the velocity.
Now let the dipole have mass $m$. In the dipole's rest frame, there is no preferred orientation other than the one set by the dipole moment $\textbf{m}$, and therefore it's not possible to have any constraint on the direction of $\textbf{m}$. But in the limit $m\rightarrow 0$, the dipole is required to move at the speed of light, so the component of the dipole moment $\textbf{m}'_{\parallel}$ goes to zero. This means that a massless dipole must have its dipole moment perpendicular to its direction of motion. The result is purely classical, and my argument (assuming it's right) is valid regardless of the nature of the object.
Since photons are massless, this means that if a photon did have a dipole moment, it would have to be oriented perpendicular to the photon's direction of motion. But that seems implausible for symmetry reasons: the spin is parallel to the direction of motion, so within the plane perpendicular to the motion, there is no preferred direction for the dipole moment.
Since there's essentially no quantum mechanics in this argument, I doubt that it's capable of telling us anything about the anomalous dipole moment.
[EDIT] After some discussion in comments on this question, it sounds to me like there must be a hole in this argument in the case of the magnetic dipole, although it still seems correct for an electric dipole.
Hnizdo and McDonald, "Fields and Moments of a Moving Electric Dipole," 2011, http://www.physics.princeton.edu/~mcdonald/examples/movingdipole.pdf