GREASE Live! and HAIRSPRAY Live! were both done out in Los Angeles and on a major studio lot using various soundstages so it was logistically possible to have those lavish productions. ANNIE Live! is being done in a soundstage in Long Island, NY. Same soundstage as the earlier NBC Live! Musical Events: THE SOUND OF MUSIC Live!, THE WIZ Live!, etc. The only new addition is the added audience, which will be quite small I heard.
Also, I think what we see in the TV commercial are minimal mock-up sets for the commercial spot. I truly don’t think what we see is the actual set design, backdrops, etc. that will be used for the broadcast.