I was messing around with the same in 2021 and the user was not popping up for Traced Entity Name in debug logs.
Did some findings and found that Salesforce has taken up back the process to inject cookie in web-browser in order to do enable the debug logs in the release of spring 18.
To trace the guest user, now we need to follow these simple steps to find ...
Your Lightning App markup is incorrect. It should be:
<aura:application access="GLOBAL" extends="ltng:outApp" implements="ltng:allowGuestAccess">
<aura:dependency resource="markup://c:EntireSiteComponent" />
Everything else appears to be correct.