PDF documents (side loaded via USB) do not support pen annotation. You should use Send To Kindle service so it is converted to Amazon's Print Replica format, which does support pen annotation.
If you tell calibre your Scribe's email address (shows in Settings > Your Account > Send-to-Kindle Email) then you can send it via email from calibre (subject to attachment size limits for your email service, usually less than around 20 MB).
But you can also use the Web Send to Kindle service (
https://www.amazon.com/gp/sendtokindle in the USA). This has size limit of 200 MB and lets you set Title/Author metadata.
It is also possible to convert to Print Replica locally (using
Kindle Create and
KFX Output plugin for calibre), and side load that, but in that case you will not have any convenient way to export annotations. The conversion also requires some manual steps.