After killing Henry, Annie headed out of Hong Kong by boat with a contemplative look on her face.
Instead of rushing back to the States, she hid out and escaped the agency's watchers. She remained underground for four months before she decided to return and re-emerged in Washington D.C on Covert Affairs Season 5 Episode 1.
The ease of Annie's return into the CIA fold was astonishing. She underwent a polygraph and passed beat it. It was like she never faked her death, went dark or killed Henry Wilcox. I'm guessing since Calder was in on it, she was in the clear for her actions. She definitely was lying about her four month absence, but the polygraph doesn't lie, right?