It will always remain possible to set Zotero to open PDFs in an external reader if you prefer one to the internal reader. Externally created highlights and notes show up in the PDF reader and can be added to Zotero notes as easily as annotations you create in Zotero.
Annotations are stored in the Zotero database, not in the PDF file, which allows for much more advanced functionality as well as fast syncing. The File menu contains a new option to export PDFs, which will convert any Zotero annotations into standard annotations in the exported file. (An upcoming version will let you omit annotations, but in the meantime you can drag files to your filesystem to copy just the file.) Similarly, when exporting metadata from your library, there's a new “Include Annotations” option under “Export Files”. We plan to support other ways to export annotations in future updates. Your annotations will never be locked in Zotero.