An hydrous AlCl3 is an electron-deficient compound while hydrated AlCl3 is not. Therefore, anhyd. AlCl3 is more soluble in diethyl ether because the oxygen atom of either donates a pair or electrons to the vacant p-orbital on the Al atom in AlCl3 forming a coordinate bond.
In case of hydrated AlCl3. Al is not electron deficient since H2O has already donated a pair of electrons to it.