You can insert a cross reference to a heading. But the whole heading is retrieved. If you want to retrieve on the Annex number, you would have to define a separate, hidden, "bookmark" on the heading line that you could cross reference to.
So, on each Annexure heading line in the body of the document you have to Select that text and define it as a bookmark, ie in this example I selected "Annex 2" and defined it as bookmark "Annex_2"

Then I can insert a Cross Reference to that bookmark in the body of the document to show just the text selected when defining the bookmark:

In this example I have already inserted the cross reference. You can see it by the highlight text (which will not be visible normally) and then returned to the Cross Reference dialog to show how I inserted it
Add or delete bookmarks in a Word document or Outlook message
https://support.office.com/en-us/article/add-or-delete-bookmarks-in-a-word-document-or-outlook-message-f68d781f-0150-4583-a90e-a4009d99c2a0
A bookmark in Word works like a bookmark you might place in a book: it marks a place that you want to find again easily. You can enter as many bookmarks as you want in your document or Outlook message, and you can give each one a unique name so they’re easy
to identify.
Create a cross-referencehttps://support.office.com/en-us/article/create-a-cross-reference-300b208c-e45a-487a-880b-a02767d9774b
A cross-reference allows you to link to other parts of the same document. For example, you might use a cross-reference to link to a chart or graphic that appears elsewhere in the document. The cross-reference appears as a link that takes the reader to the referenced
item. If you want to link to a separate document you can create a hyperlink.