If Annie didn't know how old Jeff was it's a continuity error. Jeff announced what his age was at the time he made the Real World audition tape, and Annie would have known what year it was recorded in, and her brain would have immediately done the math.
I think she knew in general he was high 30s but didn't think of him as somebody who was near 40, so it was a combination of slight surprise and trying to pretend she was more surprised.
You touch upon an interesting theory/point: she knew how old he was already but it didn't sink in just how much older until she heard him actually referred to as "forty." Someone in his 30s "seems" to be ten years or less older to someone in their 20s but 40 seems like someone actually closer to 20 years older/their parents' age.