Continuity mistake: The licence plate of the taxi which hits Sebastian in the end changes during the shot. (01:27:35)
Continuity mistake: When Sebastian gives Kathryn the magazine so she can read the article, it is folded in the middle. when you see what she is reading, the page is smooth. (00:12:40)
Continuity mistake: When Dr. Greenbaum hands Sebastian a copy of her book, in one shot she's holding the left side of the book, but in the next shot she's holding the right side of the book. (00:03:00)
Continuity mistake: When Sebastian goes to visit Blaine, Blaine is using a scale to weigh out some marijuana. In one shot, there is a big pile on the scale, the camera cuts away. When the camera comes back to Blaine, there is a much smaller pile of marijuana. The camera cuts away and back again...the big pile has reappeared. (00:20:30)
Continuity mistake: In the scene where Kathryn teaches Cecile how to kiss, the green clip in Cecile's hair keeps changing from almost fully covered by her hair to visible, throughout the scene. (00:22:30)
Visible crew/equipment: When Cecile sits with her Diet Coke on the floor, Kathryn knocks on the door, and Cecile gets up to open it. If you look by the chandelier you can clearly see the whole boom mic come down into the shot. (00:50:55)
Answer: Well, this is my own opinion, but I think that Annette and Katharine were just pretending not to know each other. Remember, Katharine doesn't know how much Annette knows and Annette knows what kind of deception Katharine is constantly pulling off. I also think that Annette uses the line "turning to God" to foreshadow (and maybe scare) Katharine. Naturally, it didn't work until the journal got out.