I have annealed a few primed cases, just to experiment (using a socket chucked in a drill). Nothing happened.
In theory, the case head should never get hot enough to cook off a primer. They can cook off in a very hot chamber, search YouTube for barrel AR15 or full auto melt down tests etc. But that's WAY hotter than the case head should ever get during annealing.
Having a hot case mouth cook off a live primer isn't really caused by the annealing. Rather, it's caused by the unsafe practice of allowing a hot piece of metal to touch a live primer. Case mouths by themselves don't set off live primers. You can tumble live ammo all you want without worry, or loosly bulk pack live rounds and toss them around. A primer going off due to being struck by the sharp rim of another case is unheard of. But touching a super hot piece of metal fresh out of an annealer or torch flame to a live primer could certainly do it.
Don't hand hold the case, keep it pointed in a safe direction, and it should be fine. Let them cool in a fashion that extreme heat doesn't touch live primers. But this is not recommended as normal practice. Primers are pretty inexpensive, better to just pop them out first.