Unblockable attacks are nothing to sneeze at, on both offense and defence. While an intercept strategy seems like a good idea to counter it on defence, there's also the posssibility that the Annie AI might be programmed to use Crescent Cut to cover her approaches, which would make intercepting more risky. However, she presumably still does need to build up and activate Star Power before getting access to Guard Break, and since she'd only have bronze stats, it seems pretty likely that she might end up dying before she even gets a chance to do so. So ultimately I think she'll end up being used for offence more than defence.
I am curious, though. A few other characters typically have a few special moves or blockbusters that are able to inflict that character's signature debuff. So Annie might end up inflicting Guard Break with one or more of her moves. Depending on which one it is, Annie variants in general might be something to fear when they're used on defence (especially Crescent Cut. The thought of Guard Break on that is just gross).