To turn your pages whilst in annotation mode, click on the left/right arrows on the right side of the annotation toolbar.

If you use an Apple Pencil (or equivalent), you can turn pages normally, tapping with your fingers on the right and left sides of the screen.

You can also turn pages in annotation mode with a Bluetooth pedal if you have one.

Note: You can turn off the option to turn pages with fingers in pencil annotation mode in the "Annotation settings" section of the Features menu.