The warning message was caused because of the annotation data.frame, anno.data, as it does not have the additional data column (5th column in the annotations file, please see the docs for input format) while you indicated the chromoMap to color based on the feature-associated data by setting data_based_color_map = T.
If you'd like to add a color for each gene, you just need to add a 5th column to your anno.data preferably the names of your genes like:
anno.data <- cbind.data.frame(anno.data,Symbol=anno$gene)
and, then you can create the plot with each gene colored uniquely and create the legend by setting legend to TRUE and tweaking other arguments to make the plot as desired.
Please have look at how to create discrete color maps for categorical data using chromoMap here.
Here is something I tried for you:
chromoMap(list(chr.data),list(anno.data),
# labelling arguments
labels = T,
label_font = 12,
label_angle = -55,
# group annotation arguments
data_based_color_map = T,
data_type = "categorical",
data_colors = list(c("red2","yellow3","blue2","orange3","purple","green2")),
# for the legend
legend = T,
#adjusting the legend along y-axis
lg_y = 250,
#increasing canvas width for legend
canvas_width = 600,
#playing with plot properties
text_font_size = 12,
chr_color = c("#d3d3d3"))
here is the output:

You can try a bunch of other configuration options and features offered by chromoMap. Please read the documentation for more details.
Disclosure: I am the chromoMap developer
chromoMap Website