Based on the information in the knowledge sources, annotations in Mixpanel are used to add context to time-series charts and are visible within the Mixpanel UI and side panels across reports. However, there is no mention in the documentation that annotations are included when exporting a report to CSV. The export methods described for CSV focus on exporting the data shown in the report (rows, columns, metrics, etc.), but do not reference annotations being part of the CSV export output.
Therefore, it appears that annotations are not included when exporting a report to CSV from Mixpanel. If you need annotation information, you would need to view or manage them within the Mixpanel UI or via the Annotations API, but not through CSV exports Exporting Reports Annotations.