From the article (which has further details):
Why does Zotero store PDF annotations in its database instead of in the PDF file?
The new PDF reader in Zotero 6 makes PDF reading and annotation a first-class part of the Zotero experience.
To enable this tight integration, Zotero stores annotations in the Zotero database, not in the PDF file. This allows for fast, conflict-free syncing, including in groups, and enables advanced functionality that wouldn’t be possible otherwise.
Zotero 6 also offers various ways to export its PDFs with the annotations included in the PDF.
While I understand users desiring annotations being stored in the PDF, as an app developer I can fully sympathize with the decision for Zotero 6 to store annotations in the database. Storing them in the PDF severely limits your options to develop advanced features, and can make things like sync hard to impossible.
Having good sharing & (scriptable) export options to output PDFs with annotations included can help to satisfy the different needs.