I've been able now to retrieve the class back from Shrinkwrap created jar and verify that the annotation I add is there, but when it is deployed to the managed Wildfly and started there the annotation is gone. It's like anyway the original class is still there.
Finally I found a way. Instead of getting a Class back from Javassist I export it to a byte array, then I add that to the jar archive as a ByteArrayAsset to the correct path. This does seem like a Shrinkwrap bug to me..
I'm still interested though if anybody have another solution for this task.