What is the difference between ICAO Annexes and Documents?
An Annex to the Chicago Convention on International Civil Aviation (which established the ICAO) is adopted by the ICAO Council according to particular voting procedures laid out in Article 90 of the Convention, and is binding upon the signatory States.

An ICAO document is just something the ICAO organization has chosen to publish in its Doc Series with an identifying number for ease of reference. Being an "ICAO Document" doesn't in itself say anything about who wrote it or its legal force. For example, Doc 7300 is the Chicago Convention itself, which has a lot of force (but not because it has a Doc number), whereas Doc 9562, Airport Economics Manual is more informative in nature and tries to be persuasive rather than authoritative.