Anabaptism is an offshoot of protestantism that holds that baptism should only be done to people who have made the conscious decision to believe in God. As a result, Anabaptists do not believe in infant baptism, as infants are unable to decide whether they want to be baptized. This was long considered a scandalous and radical belief by mainstream Christians.
In the context of Sredni Vashtar, however, it's not all that important that you know exactly what Anabaptism is, as it's just a random word that Conradin "settles" on to describe the Houdan hen, which he adores. Conradin hopes that the "Anabaptists" are dashing and disreputable, the opposite of what he considers Mrs. De Ropp to be.
In relating the hen to the "Anabaptists," Conradin links the hen to a vast religious tradition without even knowing that he is doing so. This mirrors the initially oblivious way that he inadvertently begins his own personal religion.