Just going through the (excellent) documentation…
The sections on Appendix > Templates, The Data Menu and Inspector > Annotations and Reminders refer to the Annotation Template being in its old DTPO place of Data > New From Template > Annotations.
There is no such menu item. The Annotation template isn’t in its normal place in Application Support > Templates either (under any folder), though the base rtf file is in the application bundle under Resources > English.lproj. I presume this is an oversight in the bundling, rather than a deliberate design choice?
BTW, you can still create a new Annotation via the Inspector > Annotations widget, but it’s not on the menu at the moment and of course the old shortcut doesn’t work.