The annotations files are still there. They are in "Digital Editions\Annotations". But, they are only produced for epubs and PDFs that are on the main memory of the device. If you are using kepubs, either purchased or sideloaded, or putting the books onto the SD card, they are not produced.
For the calibre "Fetch annotations" feature, what is wrong? I am not a fan of it (I don't want the annotations in the comments), but I do maintain the code. If you can tell me what is wrong, I can look at it to fix.
There are some other alternatives. Several people have posted scripts or programs here to fetch the annotations.
There is also the
Annotations plugin for calibre. This can retrieve annotations from various devices into a customisable column. It needs code for each device. I have been working on the code needed for the Kobo ereaders. I have it with someone else for testing, but if you want to try it, I can send it to you with instructions. You will need to install the plugin and edit a configuration file to enable it.