Dennis, my Kindle is an ebook viewer. It saves highlights.
Not in the ebook itself, obviously. In a sort of per-book appdata. Kobos store highlights in a database I believe.
Annotations are supported by most every smartphone/tablet ereading app, and ereaders. But desktop support of any sort seems to be patchy.
calibre's ebook viewer actually does store annotations inside the EPUB. It only does bookmarks, but those are stored inside the .epub in a special file. I believe it is (relative to epub archive's root) "/META-INF/calibre-bookmarks.txt"