Looking at the constructor SoapAnyUriwith Reflector, it does not perform any validation at all.
The data type is defined as follows : anyURI
[:] anyURI (URI). anyURI (.. URI). , URI, [RFC 2396], [RFC 2732].
, Uri.TryCreate UriKind.RelativeOrAbsolute, , :
Uri uri;
bool valid = Uri.TryCreate(anyUriValue, UriKind.RelativeOrAbsolute, out uri);