An annexe is normally only required if travelling with family or setting up camp for an extended period - Try without annex, consider lightweight privacy screen/s. Annex very heavy, difficult for solo erection, take valuable space, expensive. Look at other annexes locally and on web, you would most probably get equal or better.
If solar panel are mounted on roof that is usually enough security, towball security and wheel clamps usally good enough deterrent to make someone look elsewhere - In these days of portable grinders/cut off wheels no caravan (or any other property) cannot be stolen easily - if they want it they will get it - Best security is a good insurance policy that covers your dream and contents.