In the library, you can search by annotation comments in "Everything" mode. Attachments with annotations matching the search term will appear in the results.

In the reader itself, click the Search icon above the list of annotations to search within the list.

Not totally sure what you mean.

This question also puzzled me for a long time. The current search function can only feed back items and PDF, and can't directly feed back annotations to me.

Yeah, Zotero features good user support to add to library and to library items rich collection of user remarks and notes. This is great feature supporting literature research. I use all existing means built-in to Zotero to leave my comments.
The big problem is - at least from my personal perspective - the lag of means to find desired remarks/notes later on at arbitrary point and achieve it in short time.
Also an overview of all notices / comments is hard to make.
At the end rich comments collection exists but it's not possible to use it effective, low-effort way.
As well as I need to use other means to track my comments/remarks/notes otherwise regain process is hard.

Use-case: Performing research of publications and searching for contents presenting a value for own thesis the writing of which is either ongoing or starts short/middle term. User highlights statements found in publications under research for future citing in own writing. User adds comments of own critics or praise for future references.