Did anyone actually read my question? I explicitly stated that I have seen that other question and it didn't solve my problem. Why was it closed as a duplicate?
I could see how users may have thought that it was a duplicate. But in reality, this is a bug so in the end you may end up having to get an extension to fix this until YouTube actually addresses it. I have reopened the question.
Edit: After discussing with another mod, it was decided that there is nothing that supports this being a separate question. It is indeed asking for the same solution. I could replicate your problem with annotations not being kept off but, as I said above, this is most likely a bug, and would end up getting closed as localized.
We wil be closing the question (...again doh!) while adding a bounty to How can I permanently disable video annotations on YouTube? to raise some attention to the question.
Your post has been reopened.
These things do happen from time to time. Someone will propose the duplicate and others will agree (possibly without reading either question properly).
You need to bring this to our attention by commenting on the question, flagging it or asking a question here on meta - as you have done. Then we'll know that something's gone wrong and can sort it out.