The problem is caused when slave sql thread is applying an
anonymous_gtid log events on mysql 5.6, since the
anonymous_gtid log event can be generated on mysql 5.7 after
wl#7592 when gtid_mode is OFF or OFF_PERMISSVE. So the
NEW->OLD replication is broken.

On mysql 5.6, the slave sql thread should manage to apply the
anonymous_gtid log event successfully if gtid_mode is OFF;
the slave sql thread should report an error and abort when
applying the anonymous_gtid log event if gtid_mode is ON;
the slave sql thread should report an error and abort when
applying a gtid log event if gtid_mode is OFF.