This is a known bug that has been fixed for the future release 9.0 of JMP.
As a workaround, you can journal your report (containing the annotation), or create a journal of your graph or report, then add in the annotation. Now if you save the JMP journal then the annotation(s) are saved to that file.
To create or append a report to a journal, use the menu Edit-->Journal or use the keyboard short cut command CTRL+J.
With all due respect, I have to say that I'm a bit stunned that fixing this kind of a bug would be relegated to a future version release, rather than a point release. New versions are for new features, not for fixing sloppiness in current releases.
Just beware, if you annotate on your journal and then try to save the journal as a Word doc (.rtf or .doc) your format will be totally messed up and it will try to make the entire journal one tiny picture on one page of your file and you won't be able to read anything. I was told this was another "known bug." I have been using JMP since version 3 and I think it was broken around version 5 and still hasn't been fixed!