Hello Jorge,
The decision to annualise the result depends on how you want to interpret and use the volatility values. If you want the forecasted volatility to be annualized, you can add the annualization step after obtaining the forecasted volatility.
In the course, the code calculates the monthly volatility using the Parkinson's volatility estimator, and then the GARCH(1,1) model is used to forecast the subsequent month's volatility. Hence no annualisation is done in the code presented.
I hope this clears your doubt.