Assuming that all your hens are all the same size, and breed or variety, the behavior you described is common in a flock of hens, and hens are all you have now because I don't expect your baby cockerel to step up, be a chicken man and keep the peace for another several months.
Generally speaking if a hen mates with a mature rooster he will protect that hen from overbearing members of the flock. Some chicken breeds are less passionate than others and if that is the case with your birds your cockerel may be satisfied with the harem he currently possesses.
There is a hierarchy in chicken society called the pecking order. Penelope is obviously a high ranking hen and if Annie is not at the bottom of the hierarchy she is near the bottom. Penelope attacks Annie for no other reason that we humans can see other than Annie allows it. Separating them is usually fruitless because often another hen will assume Penelope's or Annie's place in society. Segregating Penelope may have the effect of allowing another hen to rise to prominence. This may give Annie some breathing room but it is at Penelope's
expense. Also you said that your pullets just started laying. If Annie is nor laying yet in my experience the other hens look down on her.
The damage to Annie that you described is very, very minor. I recommend that you do nothing yet but that you do monitor the situation carefully. If your baby rooster steps up he will more or less put Penelope in her place because a mature rooster views his hens fighting as a direct threat to his place in the flock. One thing to look for is if Annie is able to roost with her sister hens or whether she is forced to roost alone or segregate herself. Flock members like to roost together and any that don't are outcasts. This is especially true of roosters or hens of non-reproductive status.
Blood or the color red on a chicken where it isn't supposed to be is an OPEN invitation for every member of the flock to join in and peck the unlucky bird to the point of canalizing it. Just as the previous poster said his birds were doing.