The value to see if he has a regenerative anemia, which is where they are making new red blood cells, is the reticulocyte count. Not sure if that is on his bloodwork or not, we check it here in the US when we are looking to tell what type of anemia we have.
So your question about bone changes, we can see bone changes with prednisone use. I have not personally ever seen this, but if you look in a drug formulary, it states that osteoporosis can be seen with the drug. As I said, I haven't seen it before, but it is possible.
It is also possible that prednisone alone isn't enough to control the anemia for your dog. Sometimes secondary medications are needed such as azathioprine and cyclophosphamide. I have only had to use these a few times, as most dogs do well on just the prednisone alone. Depending on how long your dog had been on them, it is possible that he was tapered too quickly. Most dogs require at least 4 months of treatment if not longer.
Here is an article for you on IMHA:http://www.veterinarypartner.com/Content.plx?P=A&S=0&C=0&A=1390
With the elevated phosphorus and chronic anemia, I also worry about kidney disease. The BUN looks only a little high- was the creatinine normal?
Also, with the bone loss I worry about osteoporosis due to poor diet or an endocrine disease. Has he ever had his thyroid levels checked? Hypothyroidism can cause issues with poor haircoat/hairloss, lethargy, and in some cases can cause anemia.
Also, have his calcium levels been normal? Have those been checked?