A family of Microsoft word processing software products for creating web, email, and print documents.
If you use one of Word's built-in heading styles for the annex titles, they will appear in the Navigation pane by default, though probably not at the level you would prefer (and the outline level of the heading styles cannot be changed). But you can use custom styles for the annex titles, with the outline level of the paragraph set to Level 1 (or any other level other than Body Text), and they will appear in the Navigation pane.
For more on numbering appendixes, see https://shaunakelly.com/word/numbering/numberingappendixes.html