I was following along with the instructions at How To: Convert AutoCAD DWG files to a GIS-compatible file geodatabase in Pro pretty well until I got to step 7 under Converting CAD annotation to geodatabase. In Pro, this is the 2nd page of the wizard, and the Import dialog doesn't allow for selecting the Annotation CAD feature class like ArcCatalog does.
Pro - the .dwg does not appear:
ArcCatalog - shows the DWG and components.