We recently fell into this exact same trap. This was eventually identified as a symptom of having an environment with only Enhanced Data Model website(s). The adx_annotations/adx.annotations.html web resource will only be available if your environment has had a Standard Data Model portal/website provisioned. We proved this by creating a standard data model site and the missing web resource was then available. Having said that, we then discovered that there appears to be a new web resource intended for the enhanced data model sites: mspp_annotations/mspp.annotations.html

This worked perfectly for us as a replacement for the adx_ version.