I found the solution. Just need to invalidate the annotator rect.
Actually I still have problem with this!
Invalidate annotator does not work when you drag the anchor, that is the anchor handle disappeared until you finish dragging.
Invalidate annotator only works when you first click on the art.
Anyone has a solution?
You have to draw them yourself when you get an annotatator message, using either sADMDrawer->DrawLine + sADMDrawer->FillOval, or (for CS4 and above) sAIAnnotatorDrawer->DrawLine + sAIAnnotatorDrawer->DrawEllipse.
Thank you very much, that makes sense, I will try that.