Yup -- azw3(r|f) are the AZW3 equivalent of the old mbp1/mbs files.
One handles annotations, the other has bookmarks, current location, etc. IIRC -- but I can never stir myself to remember which is which.
I know you add the ASIN to all your books -- this should mean your annotations are synced through Amazon (maybe depending on whether you have that ASIN in your purchases) which means after syncing your annotations should be restored.
The Kindle
does delete annotations from purchased books when you "Remove From Device", since they are synced anyway -- only sideloaded books leave their notes behind, in order that you can re-add the book and pick up from where you left off.