Does Xbox Play Anywhere work with physical copies?
No, it does not. As described to us by Aaron Greenberg, Microsoft's Xbox marketing chief:
It is specific to digital because we have to be able to associate your account with the product. When you purchase ReCore digitally in the Windows 10 Store on Xbox One, that game will be tied to your account. When you go between multiple devices, we'll be able to say "this is your game, this is your game library." We're only able to do that digitally today.
If you want to take advantage of Xbox Play Anywhere you need to have a digital copy of the game. Either by purchasing directly from the Xbox Store on your console or by using a download voucher from your favorite retailer.