Preview: Highlights and Notes not showing in side panel
The side panel does not show annotations such as drawing and boxes. As the name implies, it will show text highlighted (underlined at least) and notes that are added using the notes option. One could attach a note when annotating a page and then clicking on the note from the sidebar will take the user to that page.

Showing thumbnail will show all the pages including all annotation on a page. Clicking on the thumbnail page takes you to that location.