We study the phase behavior and the collective dynamics of interacting paramagnetic colloids assembled above a honeycomb lattice of triangular shaped magnetic minima. A frustrated colloidal molecular crystal is realized when filling these potential minima with exactly two particles per pinning site. External in-plane rotating fields are used to anneal the system into different phases, including long range ordered stripes, random fully packed loops, labyrinth and disordered states. At a higher amplitude of the annealing field, the dimer lattice displays a two-step melting transition where the initially immobile dimers perform first localized rotations and later break up by exchanging particles across consecutive lattice minima.