Just glancing at the code you use to create your annotate data set, it looks like you're using the correct things to control the annotated text size ...
hsys='3'; says that the number specified in the 'size' variable is % of screen
size=3 and size=3.5 seem "reasonable" numbers.
So, does the size= have no effect on the graph, if you change it?
Try this with dev=gif ... perhaps this is one of the things that dev=activex only "partially supports"(?)