I wound up stuck on one of these - I had a huge hole in an anthology waiting for a writer to fill it, and the writer was cataclysmically late. When the story finally arrived, it was utterly unworkable. The project was already pushing deadline, so I grabbed one of my own, edited the hell out of it over the next few obsessive-compulsive days, buried it in the mix, and sent the project off.
The story is probably pretty good - at least it reviewed well - but I’ll never know for sure because I can’t stand to look at it in there. Including it felt like cheating. There were other, more deserving writers who could have used the space, who might not have seen the solicitations for submissions or otherwise missed the sweet opportunity.
However, writers include their own stories in anthologies all the time. Asimov’s anthologies will often lead with one of his. It might be situational - if you’re editing “Best New American Fiction 2014,” chances are you’re an established voice who should step aside and let someone who needs the platform have the microphone, but if you’re editing “Stories about haunted houses” because you’re famous for writing stories about haunted houses, you’re probably expected to contribute as well. It would be a surprise if you didn’t. With a shared universe like “Thieves’ World” or “the Man-Kzin Wars,” it’s probably a requirement.
My own situation, however, was just plain awkward as hell. Even if it wasn’t cheating, it felt like cheating. I think I did do the chicken thing and give it a pseudonym. For my own conscience, I’d prefer to avoid that particular situation, but as a reader, I think it depends on the project.