I'd really appreciate it if someone could tell me the difference between the two. I've also seen 'caption' used as a verb, which sounds to be ungrammatical but used quite commonly.
(Not a Teacher)
Annotations are explanatory notes, typically written in the margins of reading material (I.e. text books) and official documents. Captions are descriptive or explanatory statements for an illustration or picture. It's also used in reference to the scroll text at the bottom of a TV screen that provides a transcription (and sometimes a translation) of what is being said. This is known as the "captioning".