Calibre has limited support for handling annotation files. There are three known formats - .MBP, .PDR and .TAN, corresponding to AZW/MOBI, PDF and TPZ.
If a Kindle is connected, a menu item is enabled under
Send to device|Fetch annotations. That command will look for annotation files on your Kindle, storing those that it finds in the database associated with its parent book.
A potential problem arises when you have a book in calibre which you rename, then send back to the Kindle. If there's an annotation file in calibre, it is not sent back along with the newly renamed file. That needs to be done manually.
This thread has a more detailed explanation of how annotation files are handled.
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