The human hg19 is the only genome build with reference annotation available with Annovar. The input VCF dataset must be based on the hg19 build and have that database assigned.
Alternatives are covered in these GTN tutorials.
You can also review the tools under the VCF/BCF and Variant Calling tool groups at usegalaxy.org for more options.
When working at your own Galaxy, genomes and indexes need to be installed. Use Data Manager tools. I added some tags to your post that point to prior Q&A concerning the use of DM. Note that not all tools have a Data Manager, and Annovar is a tool that does not have one.