Quote from Serpent Steve »I'd disagree. Mainly because that's exactly how commanders work. If someone is to destroy my commander it sets up that step where I decide if I want its destination to be the graveyard or its command zone. Same here. Annie detects a creature on the way to the graveyard and changes its course instead.
Mine is not an opinion, it's how the rules work. While you are making the decision to send the commander to the command zone, it is still on the battlefield or in whatever zone it starts out.
As for Anafenza, I did say she changes the destination, she just isn't the one to cause the zone change.