Are you talking about the formatting of the selected text? If so, it probably is lost. It would depend on how that is copied from the book to the annotations storage on the device. I know the Kobo devices just copy the text. It wouldn't surprise me if the other devices did the same.
As to getting the annotations to the calibre viewer, it isn't currently possible. The viewer doesn't support annotations in the same way. Plus it needs someone to write the code to translate the devices annotations to something the viewer understands.
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