Hello,
Yes, enabling the annotations option when using PDF methods, add to the output external annotations such as links an comments included in the PDF files. This option is available since phpdocx 10 and the latest changes to improve it were included in phpdocx 13.5.
What version of phpdocx are you using? If you send to contact[at]phpdocx.com the PDF files we'll test them with the MultiMerge class.
Regards.