The capability you requested is currently an open enhancement request (#NIM039982) in our defect tracking system:
[#NIM039982 Add Annotation as a Geometry Type option on the Create Feature Class dialog]
The title of the enhancement doesn't accurately reflect the content; it is a request for this capability in a geoprocessing tool so it can be used in Model Builder and other automation sequences. Thank you for adding your voice to this feature request. It will be evaluated by the product teams for implementation in a future release.