Moonlight City was the capital of Moro Province and was densely populated. Even though the war had caused some of its residents to flee, it was still very crowded.
Anfey walked through the streets, observing the city and its people. He was dressed in common garments in order to blend in. It was a large city and its inhabitants did not pay much attention to him.
Know thy enemy, know thy self. Anfey knew better than to underestimate his enemies, which was why he just had a long conversation with Saul about the dragonborn.