I am having this exact same issue (as described in the initial post). However, I am using ArcGIS 10.0 SP5. Is this something I'm not able to do in 10? The spatial join works, but then the annotation is not showing. It is selectable though.
I tried to follow the advice in the link below from 2004, but I don't quite understand it. And in any case, my annotation is labels, not symbols, so I'm a bit confused how that translates.
Any help? Thanks!