Derivative works are what are banned by copyright. They are the things that are not covered by fair use. Transformative works that really change a work aren't covered by copyright because they don't really count as a copy anymore. Fair use is this other thing https://en.wikipedia.org/wiki/Fair_use#U.S._fair_use_factors
And if Genius is hosting the page that's annotated, that's one thing. If they're simply proxying it on demand and adding annotations, then I don't see how it violates copyright unless every proxy server violates copyright.