The lack of Annie doesn't shock me.
Even when the show was first announced as coming back, I never thought Heather Graham would just because .. well, I would assume Annie would be one of the first to get killed by BOB, before anyone even knew BOB was back (/in Dale). After all isn't "How's Annie?" combined with a menacing/mocking laugh pretty much BOB putting a bullseye on her head.
I mean, I'll be in for a big shock if she actually is alive. I just assume they don't mention it because while it was a big cliffhanger, you can't really pin marketing on what would probably amount to one scene of Good Coop being shocked to find out that Annie was murdered pretty soon after the finale. As for her not being in TSHOTP, I assume it was because the moment you write her into the book (and by extension most of the Windom Earle stuff toward the end of Season 2, which should be notable enough to include in a dossier ..), you have to have TP avoid doing any background information on Annie (which in turn would spoiler whether or not she is alive).
(I should say, I'm talking as someone who hasn't read any spoilers or have any idea if she is/isn't coming back, this is just my gut talking)
But, yeah, as someone who doesn't even like Annie (I can sort of see the pages being written as they aim Coops affection at someone else due to the whole Coop/Audrey no-go), I'd still be bummed if they actually straight up never followed up on that in anyway (i.e., all there has to be is one scene of "She was murdered Coop")