Too hard.

Couple of them just too abstract, the anagrams in particular. And the Roman group are all simply towns, or cathedrals, no need to be so specific and insist on the Roman connection.

The Roman settlement group is also just a group of cities with cathedrals. The theme of the anagram group was very vague, and the day of the week abbreviations being at any point in the word, rather than all at the start or the end, made it almost impossible to sort. That said, I solved the grid with time to spare and saw all the links except the anagrams.

We liked this but only scored 4. Apparently, Colchester does not have a cathedral. I thought the anagrams and days of the week were fair enough, the days because they were all in different places (not just one of them)...and the buns gave us something to chew over! 5 stars from us.