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I think it might be that your annotation is registered as versioned. Please try to unregister as versioned and see if you then can change it.
Rune Hanse, you hitted the Spot in my case!! If dataset is register as versioned, this option is not available. In my case, it was a new annotation feature so i unregistered it and the option become available again. Also is important what it's said in this thread to not having the feauture openen in any mxd on Arcmap. I am using Arcmap 10.2