To be honest, I never bought the Annie romance as a substantial love for Dale. It struck me more as he finally allowed himself a rebound from Caroline, and was smitten with Annie but not truly in love with her. It was only a few days, after all. And Annie, having spent some years in a convent, was clearly out of school long enough and a more ethical partner than Audrey.
When he got to the Lodge, he did offer his soul to save her. But this is Dale Cooper. This is the guy who knelt down by Leland Palmer, knowing full well what had been done by him to three women, and tried to guide him gently through dying. This guy would offer his soul up for another person's well-being whether he was in love or not. And while he was in there, he got her mixed up with Caroline in a way I don't think Windom was capable of setting up unless Dale was transferring feelings about Caroline onto Annie to begin with.
So, taking that into FWWM. We have Annie and Dale show up in that movie. Annie tells Laura about Dale. Dale, however... he appears twice in the Red Room to Laura. Both times he is ENTIRELY focused on Laura. He is warning her against taking the ring, and then after her death he is there, smiling and comforting her. Not acting like someone who has been forcefully separated from the one true love of his life, or who is anxious about not knowing where she is. The implication to me is that Dale knows Annie's out of the Lodge and none of the spirits there have designs on her, but he's not discouraged that he won't spend his life with her.
So.. we get our 25 years, and we have the Return. When we meet Coop, he's in the Red Room and he seems like he's been through some serious trials. And the look on his face when he sees Laura is so emotional. When he leaves the Lodge, he loses his identity and is drawn to things that kickstart his memory. He remembers Laura. He remembers coffee. He remembers badges, and a lawman holding a gun. He remembers the American flag, and basic fighting moves. He's drawn to the color red (and red shoes... which were worn by Audrey, Diane, and Janey-E but I don't believe Annie was the type). He receives affectionate kisses from a blonde woman, and they cause him to look upwards and to the left, implying he's remembering Laura. He actually has sex, and does not seem to think of anyone but Janey-E during that.
At no point during 12 episodes of Dougie-Coop do we see him think of Annie, despite experiencing love, affection and sex. Instead he remembers Laura, and focuses on Janey-E. He might remember Audrey or Diane but even that seems like reaching.
Taken as a whole, it looks like my reading of Annie as just a fling rather than a deep connection was right, and FlyingSquirrel's thought that Dale already knows how Annie is is right as well. (He's up to date on everything else, except Frank being sheriff instead of Harry.)
In that case, we don't need Annie to have been tulpa-ized. We just need an idea of what happened to her from the next Frost book.
That said, I did not read the interaction between Diane and Dale as "Dale is in love with Diane." They greet each other with kissing because its how Diane knows its the real Coop. I think the motel scene was a ritual they needed to do to cross worlds. Compare that to Dougie-Coop and Janey-E's sex scene, after all. We know that Lynch can do a love scene where the participants are enjoying themselves, and this one seems to explicitly depict the opposite. I think when Dale exited that curtain, he knew whoever was on the other side would be his partner in this ritual and was relieved it was someone he knew. They tried to kiss a little and access their old feelings, but couldn't. The doppelganger had done too much damage.