I've had some issues from time to time like this as well. Sometimes after you've converted to annotation it won't let you move anything, but if you close ArcMap and start it up again it'll work.
Another thing I've noticed is that somtimes where you see the annotation isn't exactly where its geometry is. What I'd do, is zoom out, use the identify tool and select a big area with All Layers as the option. Then see if it picked up any of your annotation, and if so, select it. This'll highlight the bounding geometry, not the actual text you see.