> If the pressure from the annihilations pushes the hydrogen and helium outwards, that could create some outward gravity to pull on the dark matter, right?

But it's not on net being pushed outwards. It's in equilibrium. The outward push is on average exactly canceled out by the baryonic matter falling inwards due to friction. If it weren't, then everything would get either denser/sparser until equilibrium were regained. The point is that the forces are working in such a way as to maintain a stable equilibrium, like in normal stars.