This issue is also discussed here: https://forums.zotero.org/discussion/117910/easy-way-to-copy-zotero-url-to-annotation .

Summary of options known to me:

a) "copy the annotation and paste it into a plain text editor to view the actual annotation link" (https://forums.zotero.org/discussion/comment/474353/#Comment_474353). So create the highlight, and then right-click on it, and then "Ctrl + C" (to copy the annotation to the clipboard). Thus, this procedure does not explicitly show an option to copy the link.

When you paste the clipboard in a text file, you'll see something like

"some text blablabla" ([Someauthors 2000, p. 1](zotero://select/library/items/AEIOU123)) ([pdf](zotero://open-pdf/library/items/ABCD9876?page=1&annotation=ZXYW4321. 

The first is the link to the item, the second to the actual annotation in the PDF (and the text is the actual text in the highlight with the citation and page).

b) Install "Actions and Tags for Zotero" (https://github.com/windingwind/zotero-actions-tags) and then the "Copy Zotero link" script : https://github.com/windingwind/zotero-actions-tags/discussions/115 . This does add a "Copy Zotero link" to the menu that appears when you right-click on the annotation.

When you paste the clipboard in a text file, you'll see something like

<a href="zotero://open-pdf/library/items/ABCD9876?page=1\&annotation=ZXYW4321">filename (some text blablababla)</a>. 

(I don't use Excel or Macs; on Linux, the standard OS procedure ---via xdg-open, gio, etc--- knows what to do with "zotero://" URIs in most cases. I assume a similar thing holds for other systems).