I’m guessing you’re already aware of the fact that (some users experience -) the right-click, change annotation color doesn’t work (when I select a different color from the top of the menu, my annotation stays the same), but when I went to the Edit bar (is that the name of it?) to change the color of my annotation there instead, the color did change alright but the note I had previously added to that highlight disappeared (and undoing the action didn’t bring it back, neither did it change the color of the highlight to the previous one.)
I would expect the note content to remain when the color of that annotation is changed, as would I hope undoing the action would work - both in terms of bringing the note back to existence and actually switching the color back.