I guess it's a habit thing - she called him Mr Bates from the beginning before they were married so is used to it. True, he did say he would like her to start calling him John when he first proposed to her in the second season, but I don't think he minds really.
At work, Anna calls her husband "Mr. Bates." That was the protocol in a Great House's structure; a valet held a high position within the household, so he was "Bates" to the family and "Mr. Bates" among the other servants. When the Bates are alone, Anna calls him "John." She sometimes teases him with the name of "Mr. Bates," but always in a joking, half-mocking way.
Anna really should be called "Bates" by the family and "Mrs. Bates" by her fellow servants. Because she'd served as a housemaid for so many years, and because she's held with much affection both above and below stairs, it was decided that she'd remain "Anna" after her marriage and promotion to full-time lady's maid.