what is a signal anchor in a protein?....

Usually this refers to a specific signal sequence that mediates the translocation and insertion of the protein into the membrane of the ER.

but, then what is the difference between a signal anchor and a GPI modification site?

Both are structurally as well as functionally unrelated.

A signal anchor is both a signal sequence for the translocation as well as the anchor itself.

Proteins that are to be attached in the membrane with a GPI anchor first need an N-terminal signal peptide, that is cleaved during the translocation of the protein, and a C-terminal site, the GPI-modification site onto which the GPI-moiety is post-translationally coupled. In other words the GPI modification siteonly only serves as a recognition site for the coupling of the GPI-anchor, but is not involved in translocation, nor does directly attach to the membrane.