Try
SynAnySyn.KeyWords := KeyWordList;
This will internally assign them. So you still need to free your KeyWordList.
Also note, that SynAnySyn does not support utf8. And has the following hardcoded as letters that are treated as words
_0123456789abcdefghijklmnopqrstuvwxyzABCDEFGHIJKLMNOPQRSTUVWXYZ-?!
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If all you need is to highlight group of words, then you can also use TSynEditMarkupHighlightAllMulti (not a highlighter / needs to be added as Markup / sorry no doc avail)