Right, plotting any variable against itself is a line with an intercept at 0 and slope of 1 (x=1*x+0). SAS has options to add vertical or horizontal reference lines (x=5 or y=10) but not for x=y. That it why you would need to either plot another line (x*x or y*y) or use the annotation facility to draw a line on top of the graph.
also, using annotate is actually a bit harder in that the above method does not require you to have any knowledge as to how SAS/Graph will choose the ranges of the x and y axes
if you use annotate, then only safe way to add the line is to control the axis ranges with AXIS statements that specify ORDER and then use that axis range info to specify end points of a line drawn with annotate