Annealing can help as it terminates the N vacancy-related defects, leading to a reduction of traps and surface states in the AlGaN layer. Gate leakage reduces with this annealing and it is recommended in both Schottky and MOS gated HEMTs.
Anneal conditions matter a lot (temperature, gas ambient). Dry etching typically generates N-vacancies that dope the material n-type. Anneal can reduce N-vacancies, or even add N-vacancies. Anneal can also oxidize the surface. Very high temperature anneals can actually degrade AlGaN/GaN interface quality and degrade mobility. It really depends on what you are trying to achieve using this process.