For a non-vendor-locked device, anything but Kindle will do fine. And any device with a microSD slot will do fine, including a Kindle, because you can refrain from connecting to wifi, avoid opening the bookstore, simply open the ebook files that you have plenty of space for on microSD card.
As to annotations, I don't know of a device that does not have it. Porting and transferring them and reading them elsewhere is a tough one though. Maybe an Android-based device (Inkbook, Boyue, Onyx) would be an option. Or you can install Koreader app that saves pdf annotations into the file (hardwrites them). Koreader app is easily installed on Kobo and Pocketbook devices.
I don't use Calibre, but I think it's usable with pretty much any ereader.
Why not use pdf? I use pdf files so intensively that I think the other way: If the device does not show pdf files conveniently enough, I won't buy it.
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