I see annotations on all panels in Grafana v11.3.1 (64b556c137) with Grafana as datasource for Annotation Queries with these steps

1. create a manual annotation (point or range)
   1.1 click on a point in dashboard - not on time but there has to be a tooltip open
   1.2 select a range -> press CMD/Option (mac) before releasing -> create a range annotation

2. Go to settings -> Annotations -> create a new annotation in Grafana -> leave Grafana as a source -> don't change anything

3. Return to your Dashboard -> you see your initial manual annotation copied to all panels