Will I have to file an annual return every year if I file one this year?
If you submitted a tax return to the Luxembourg tax authority while not being required to file one you will not have to file it again the following year.
This is why, every year, your myTax tax return tells you whether or not you are required to file a tax return (or an annual statement).
In practice, if a tax return has been filed in a previous year, the Luxembourg tax authority will probably send you a letter the following year requesting a tax return because your file will be saved in its database.
However, you may tell the Luxembourg tax authority that you no longer wish to file a tax return. It will then be removed from its database.