For epubs, this is a known problem with the current firmware, version 4.15.12920. There are problems storing and showing annotations where there is not a one-to-one relationship between the ToC and the internal files. There is a discussion about this in the thread for the firmware version. We are waiting for the next update from Kobo to fix this.
The workaround to this is to downgrade the firmware to the previous version. If you do this, you will need to do something to prevent the upgrade from happening. This is to WiFi off to prevent a sync and update, or patch the firmware to block the update.
The only issue I can think of for annotations and kepubs is if they are not created properly. If you are purchasing them, converting to kepub or using the KoboTouchExtended driver, annotations should work. If annotations are not working, I'd like to see an example book to try and work out what is wrong.
Also, the Kobo support person was wrong about annotations not being supported for sideloaded books. They are. Not all formats are supported to the same extend, but epubs are fully supported. What is not supported is any syncing annotations between Kobo devices or apps. This is only done for purchased books.
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