I'm a fan of anal play, though I have not had the pleasure of using an inflatable butt plug. I've been pleasured with a strap-on, a dildo, a vibrating probe, and a prostate massager both while in and out of my chastity device. My experience with anal orgasms seems to be a bit different than the prostate massage stories I have heard. I expected a prostate massage would cause your cum to drip from you without an explosive "orgasm" per se. For me, however, I get very little of the dripping, and then a sudden explosion of cum accompanied with an orgasm. I find the sensation very similar to that of experiencing a regular orgasm.
I love it, and generally find it kinkier and more intense. I'm into female dominant acts in general, so this can play well into that. Unfortunately, since it's basically an orgasm for me, it's a bit of a conundrum for how to incorporate it into chastity. So far, we basically have treated it like any teasing: I'm not allowed to cum unless given permission... though I still have a rather tough time judging how close/far I am from an anal orgasm.
Fonetik, were you in or out of a chastity device during the anal play? I actually have better results with anal play when I am NOT in my chastity device. The best way for me to avoid orgasm during anal is to provide zero contact with my penis -- so the chastity device is removed, my hands are restrained, and no one touches my penis at any time.