Zotero isn’t annotating the document. It’s storing internal references. This is easily seen by Control-clicking the PDF and choosing Show File, then opening the file in Preview or even just pressing Spacebar to QuickLook it.
In Zotero:
(And the green annotation is one I made in DEVONthink before adding the PDF to Zotero.)
In Preview:
PS: This doesn’t mean there aren’t ways to get around this limitation. But they are not built in, nor are they simple. Your inquiry is specifically about DEVONthink recognizing the annotations made in Zotero. That is inhibited by technical limitations from Zotero’s approach to annotating.
PPS: Generally, I would not trust ChatGPT responses to technical questions.