Do I have to attend Annual Training if it is within a couple weeks of my ETS?

It's Annual Training.
Most of CAARNG does not delegate relief from AT authority below BN level.
You need to talk directly to your CO now, and he needs to talk to your BC about the efficacy of bringing a Soldier to AT who will ETS 6 days after return.
And the underlying problems of incurring an LOD injury that close to ETS.

I know Soldiers that have, but it looks like the AT is going to cross into your ETS. Maybe if it was an at home AT they would make you but if it's an in the field or in another State AT I would think they'd give you a pass all things considered. Granted not all CoC's have the same mind set.

Yes, you have to attend unless otherwise told not to. In your case, you need to have a sit down with your Platoon and Company Command teams and get this hashed out. But come to the table with alternate COAs for you not going to AT. For example, you could spend 2 weeks Home Station AT to get all of your ETSing affairs lined up and ready. That's just one option. I recommend you provide them 3 options. You're gonna have to sell this hard. If you can't sell it, then get your bags ready for AT.