1) Does the first Note in the Build an Annex section apply only to the Immediate Effect cards?
You mean that it must come from your hand? No, it applies to all Annexes you build. The clarification is that you bribe a guest cards and kill a guest from the board. You build annexes from your hand.
2) Can the Annexes with ongoing powers ever be removed, or powers ended?
No. Once built, they stay in front of you. If they have an ongoing effect, it continues until the game is over. I don't know why you would want to stop ongoing effects though.
3) To reuse the Annex powers, do you need to play additional Travelers cards from your hand, or are they instantly invoked?
If it is an immediate effect, the only way to "re-use" it would be to build another annex of the same card. Once an Annex is built, if it doesn't have an ongoing effect, the only thing it can be used for is to bury corpses.