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We revisit here the issue of thermally assisted Quantum Annealing by a detailed study of the dissipative Landau-Zener problem in the presence of a Caldeira-Leggett bath of harmonic oscillators, using both a weak-coupling quantum master equation and a quasiadiabatic path-integral approach. Building on the known zero-temperature exact results [Wubs et al., Phys. Rev. Lett. 97, 200404 (2006)], we show that a finite temperature bath can have a beneficial effect on the ground-state probability only if it couples also to a spin direction that is transverse with respect to the driving field, while no improvement is obtained for the more commonly studied purely longitudinal coupling. In particular, we also highlight that, for a transverse coupling, raising the bath temperature further improves the ground-state probability in the fast-driving regime. We discuss the relevance of these findings for the current quantum-annealing flux qubit chips. [ABSTRACT FROM AUTHOR]