It doesn't matter that it's not sponsorship. An applicant must let the visa office know about changes in the family composition including getting married, reaching 12 months of living together in a common law partnership, getting divorced, getting an annulment, having a baby or a family member dying.
If you had added a family member, gotten married or had a baby, not telling immigration would be seen as misrepresentation and could cost you your PR if they were to find out as well as you would be barred from ever sponsoring that family member.
With an annulment, they may not find out so maybe nothing will happen but you are still committing misrepresentation. Maybe some years from now, you will get married to someone who is not PR and you may want to sponsor her. In that case, you would have to explain how your first marriage ended and when. If immigration finds out that you landed as a PR after having an annulment that would have taken 5 points off your score, your PR could be at risk.
However, if the annulment is as of yet only applied for and not through yet and you will land as a PR before it goes through, the risk would be minimal.
As for what will happen if you notify them, I really don't know. They will probably wait for the annulment to go through and then remove your (ex) wife from your application. Maybe they also want to recalculate your points at the same time.