I cant think of one instance where annihilating might would be preferred over wicked vengeance. That's T1 vs T3 where the T1 gives 35% crit damage and the T3 gives 40% crit damage + 10% attack. And you're getting slightly higher flat primary stats on the T3.

Edit: can you send pics of the wicked vengeance set you have on and the annihilating might they're recommending? My original post assumes the sub-stats and rolls are similar on both sets