@MattFX4. How much chain do you have on your anchor line? You need enough to keep the anchor laying flat on the bottom so it will bite in. You also need enough scope (length of line payed out) which will depend on water depth, wind condo tins and bottom conditions. After throwing the anchor out do you go in reverse to set the anchor?
The Danforth is a good all around anchor. Are the flukes on your anchor real loose. If not they won't dig in very easily. I had to throw out the one that came with my boat as the flukes were very stiff and wouldn't bite in.
The screw in anchor you are considering would not be a good choice for several reasons. The boat would have a lot of leverage in pulling that anchor out of a sandy bottom, especially in windy and choppy conditions. That anchor would also be much more difficult to store on your boat, setting it usually requires getting wet and you run some risk of injuring your passengers or vinyl seats while handling a 5 foot anchor on a pitching deck. The box anchor is an option but storing and deploying are also issues. I would consider a properly working, properly set up Danforth as the best all around choice as far as ease of deployment, effecacy and storage with the box anchor as a good second choice or back up anchor.