No, there is no export to SVG available. You can take a screenshot of the viewport and save it in a raster graphics format (like png, jpg, tif) but not in a vector graphics format like svg. You can import the raster graphics format into Illustrator too. Click on the arrow next to the icon with the star in the Viewport's toolbar -> Save Snapshot.
If your scene is pretty simple you can save a high res screenshot (quadruple you view resolution in the snapshot window or go even higher if you can) and live trace it in illustrator to get vectors.
What kind of annotations are you looking to add? I do this all the time - and CLau-esristaff is right - either use a snapshot from CityEngine, or an export to a rendering program - either way place your raster image and label on top of it in Illustrator. You shouldn't need a vector image. You just need to make sure the resolution of your export is high enough to give you a nice image in illustrator - shoot for a minimum of 300dpi.