HI there was a mistake in the packaging of Linux version of Annex: Conquer the World, which game lobby connected to that of MegaGlest. The error was a simple line of code in the glest.ini which was left out. This only affects Linux versions downloaded before July 30. (downloads after July 30 are labeled annex_release_3a)
To fix it manually you can download a replacement glest.ini file here: Annex.megaglest.org
unzip and replace glest.ini in main annex directory
Or you can simply re-download Linux 32 or 64 bit versions of Annex, (those are already fixed)
Hope that helps!