Eq. (1) doesn't look right.
This is a yet-another typo in the homework problem to my embarrassment. The numerator in dr integral should not have r^2. Thanks to Adam!
What is Omega(gamma)?
It is the ratio of the energy density of CMBR photons to the critical density.
The energy is conserved when electron, positron annihilate into photons, right?
Wrong. The energy constantly changes because the expansion of the Universe constantly red-shift all the wavelengths. On the other hand, there is no heat source from "outside" the Universe. Therefore, dQ = T dS = 0, and hence what is conserved is the entropy per comoving volume.