Filezo lets you annotate any file, folder or clip (in the Clipboard tab) in Windows. Here are the steps:
The annotations work seamlessly on NTFS file system. You can rename, copy or move the annotated files/folders without losing the annotations.
The annotations on other file systems are saved under a hidden subfolder called .filezo. When you copy or move any annotated files/folders, ensure that you also copy/move the corresponding hidden .filezo folder.
Once you make the changes to the files/folders, wait for Filezo to index them to see your annotations again.
Notes added to clips in the Clipboard tab are saved and managed by Filezo itself, so they don't depend on the file system.