I think the point with Annie is that she symbolizes Corky's inability to let go of the past. He is obsessed with saving her because he couldn't save his daughter and as a result can't see just how malevolent Annie is.
I also think there's the fact that Annie is-for all intents and purposes-a loaded gun. Annie knows how Waterford really died (she and Corky murdered him) and one of these days Annie just may decide that's a secret worth taking down Corky with.
In a way, to draw a comparison to 'the Shield,' Annie is Terry Crowley.