You need to have at least one in-text citation added to your document that is linked to your Zotero Library.
To create an annotated bibliography, you need to select a style designated as for that purpose. Currently, Zotero has two styles with that capability: APA 7 and Chicago 17 notes. First you need to add the style to your default list of styles and then create the annotated bibliography.
Illinois State University
Campus Box 8900
201 North School Street
Normal, Il 61790-8900