Can you recreate your problem with a screen recording?

I have tried both duplicating frame in the same file, and pasting in other file. They both keep all the annotations and measurements.

It is fun that when I find posts related to annotations, I see these posts next to each other in a same page:

I also forgot why I asked this question.

I remember that It occurs when I didn't select the inner frame with the annotation and selected the outer frame, or pasted the frame into an external file. 
But it looks like neither of those is the case.

Or maybe they had a release for that case just after when you asked.