Ok, I have finished a complete survey of over 300 known locations for CNBs and collated some statistics.
Security Levels:
It is absolutely not true that an system with a security level of Anarchy cannot have a CNB. Of the 10 that were either previously known or that I discovered, 4 of them were active CNBs. Only one of these systems was "special" (Nastrond), the other 3 looked like ordinary systems. That said, they are the least common type to have CNBs after High Security.
I only had 3 in my survey list that were High Security: none of these had active CNBs when I visited them. Given the fact that there were very few High Security CNBs even reported makes me think that a High Security system simply won't have a CNB, or will quickly lose it. I'm guessing that the ones I have likely changed to High Security since they were first reported.
Low security systems are the most likely to have CNBs: compared to the total number of low security systems in the entire galaxy, they are over-represented in the list of active CNBs (by about 1.6:1). This would make sense thematically.
Governments:
Corporate systems have the most CNBs by total figures, but compared to the number of total corporate governments in the galaxy, in terms of percentages they are not more likely than any other type to have a CNB. Corporate governments are the most populous in the galaxy, making up over a third of the total.
While it is hard to be confident of some of the statistics due to the low numbers involved for some government types (Galaxy-wide as well as in the CNBs list), it does seem that Confederacy type governments are over-represented for active CNBs. Communism and Feudal types also seem over-represented, but the low numbers available decrease the confidence in that assessment.
Allegiance:
Federation systems seem to have the highest chance of having a CNB, followed by Alliance systems, then Independents, with the Empire being the least likely. Given how close the figures are though I personally wouldn't weight allegiance in any predictions of where a CNB will spawn just yet.
If there are other questions you'd like to ask of the statistics, let me know.