I would like to be able to see inline annotations, footnotes, and so on, in the Notes pane.
I’m moving text from an editor into notes, and I see that some formatting (bold/etc) is available.
On the surface, notes and annotations appear to be just styles, otherwise no different from bold etc.
So it’s curious that the notes pane is blind to them, as is, I just noticed, the snapshots pane.
This is all a planned improvement for the future. Part of the problem is logistics: the linked comments/footnotes are also in the Inspector, so getting to them from base text that is otherwise located in another pane means a bunch of obnoxious switching back and forth. But we have designs in place to address all of the issues (and in this case, the Mac doesn’t do much more than what you have in front of you, either, in case you were wondering 
).
One thing to note is that although you cannot see notes in Snapshots preview, they are there and will be restored if rolled back to, in the main text editor.