Whether all these figures are anti-heroes, or in some cases something else entirely, is an interesting question. As is the question of why anti-heroes are so important in quality television. Short form answer is that they match the times. It's a mostly cynical and sour era, with little faith in institutions or, generally speaking, leaders.
Liberals who foolishly thought they'd won on August 8, 1974, have spent most of the last 40 years on the defensive, failed by stubborn hubris as Vietnam became Iraq, as B-52s became drones, as segregation became the mass incarceration of young American blacks, as J. Edgar Hoover's FBI became the NSA of Dick Cheney... and Barack Obama.
It's not exactly a stretch to say that the episode is structured in three parts to show Don's past with his first wife demonstrating why she remains stuck in an untenable child-like mode, his present with his second wife and why her unstable situation is untenable for him, and his hoped-for future at his past employer Sterling Coo.