That's not a new feature. It's been there for Kobo and Kindle devices for at least five years.
The way it works is that when you have a device plugged in whose driver supports it, select the option and it retrieves the annotations from the device and adds them to the comments field of the matching book in the calibre library. It works OK for the Kobo devices, but I don't know about the Kindles.
An alternative is the Annotations plugin. This does basically the same thing, but has some options. You can choose to use a column other than the comments, and you can review the annotations before adding them to the library.
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