She spent a thousand years killing men because one cheated on her, but that's okay, she said sorry.
That's just it, that's not why she did it. "Selfless" was about the fact that Anya lacked a sense of self, that her life had been defined almost entirely through externalities.
Anya didn't spend thousands of years avenging the wrongs of men because a man cheated on her, she walked that path for a thousand years because nothing deflected her from it. She embarked
upon that path not only because Olaf cheated on her and she was furious, but because she'd defined herself through her relationship with him, once that was gone she had nothing left and took the first rope offered to her - by D'Hoffryn.
Notice her drastic shifts in sociopolitical thought. With Olaf she believes in the power of charity, in Russia amidst the revolution she believes in socialism, when thrust into 21st century America she becomes a died-in-the-wool capitalist. Anya reflects her environment to such a frightening (and amusing) degree because she has no internal anchor, no sense of self.
We see the same pattern repeated in her relationship with Xander. Her identity as a vengeance demon is thrown into chaos when Giles strips her of her powers and again she latches on to the first rope offered - Xander - and goes on to define herself through her relationship with him, the extent of which is made clear by Anya herself in "Selfless" during the flashback to "Once More, with Feeling":
I'm just lately Anya
Not very much to the world, I know
All these years with nothing to show
I've boned a troll, I've wreaked some wrath,
But on the whole, I've had no path
I like to bowl, I'm good with math,
But who am I?
Now I reply
I'm the Mrs.
I will be his Mrs.
When her relationship with Xander falls apart in S6 she returns to the only path she's previously known, despite her experiences with Xander and the other Scoobies having left her obviously uncomfortable with the actions required of a vengeance demon. When she tells Xander to get out of Buffy's way in "Selfless" it's not because she thinks she can beat Buffy, it's because she's discovered that she can no longer be a vengeance demon yet can't envision being anything else, resolving instead to meet her end on her own terms, at the point of Buffy's sword.
The beauty of "Selfless" is that, in the end, it's Xander who sets her free. Anya tells Xander that she doesn't know who she is, that she needs to be alone to find out, yet she doesn't move. She's teetering on the precipice of self-determination and one gets the sense that all Xander needs to do is reach out to her and all that she's struggled with would be undone. Xander, to his credit, gets it. More than that, his love for her is such that he's able and willing to do what she can't: to walk away.
"Selfless" is a relatively subtle and grounded tale of female empowerment that's often lost amidst the more heavy-handed material in the series, and like all such tales in BtVS it refuses to paint men as demons or women as angels, rather as flawed and complex individuals. It's unfortunate that subsequent episodes didn't follow up on it.