Assuming you're making annotations for yourself, the copy of the annotated page in your cache is referenced, and bookmarks for where you annotated are stored in

Assuming you're making annotations for yourself, the copy of the annotated page in your cache is referenced, and bookmarks for where you annotated are stored in some other local file. If they're sharing all annotations with other users of the browser, the bookmarks get stored on Microsoft servers and reference, perhaps, a digest of the annotated page. No copyright infringement required.