My annotation comments often require new lines and hitting enter is the most natural way to do this, so I would oppose this.

I think hitting 'Enter' to leave the editing state would be quite disruptive for a lot of people as it's probably the most common way to insert a new line.

Does hitting ESC to leave the comment dialog not give you the same satisfaction?

I was thinking about the same problem recently. I could not really find a good shortcut to complete the annotation.
I have looked into how it is done in Adobe Acrobat. Pressing ESC completely cancels the writing in the annotation, deleting all the text written in that comment. Pressing Tab simply inserts a tab in the comment.

I am still using Acrobat to review papers with the annotations. So having a shortcut so contradictory in Zotero is actually quite disruptive to me. Getting used to that shortcut, I will probably end-up loosing a lot of comments in Acrobat.

The shortcut working for me in Acrobat is Ctrl+S. But I could not find any information on what is the recommended shortcut to complete a comment in Acrobat. I have tried to post on Reddit, but I did not get any reply yet.

What are the shortcuts used in the main PDF readers doing annotation?

I would also like a shortcut for exiting the Annotations pane after writing a comment.

Microsoft Word uses cmd + enter to do this. I find this very handy.