OK - I would probably consolidate the annotations into a note taking app rather than ebook format file.
But I assume you want to view it on an e-reader device hence your use of Sigil/Page Edit to edit an epub. For the time being just copy the code from your Annotations HTML tab, and paste it into directly into Sigil's codeview window.
Which is what Becky suggested in post #8.
PS: This thread may be of interest ==>>
Exporting annotations from Viewer.
BR