Yep -- calibre does not support syncing annotation info for numerous competing and incompatible schemes. Although Kovid does accept feature requests (see the bug reporting page on calibre's website), I don't believe he will be willing to implement this. It is far more work than it sounds like to do properly.
FWIW, I use a custom rsync script to keep my Kindle backed up, annotations and all.
Restoring that to a new Kindle should work just fine, as will restoring to a reset Kindle.
Scripting things often allows for greater control than pre-packaged solutions.