You Do Need power plug adapter while traveling from Anguilla to Saint Helena.

Here is Why You Need An Adapter

The outlet and plug type used in Saint Helena is G and in Anguilla are A and B. This is how they look like.

Anguilla

In Anguilla, outlets of type A and B are in use.

Type A

Type B

Saint Helena

In Saint Helena, outlets of type G are in use.

Type G