Juan,
Sounds like you are on the right track. In my case, the pop up menus allows the user to modify arrow width, point and color, or delete the annotation alltogether. So I am two deep in events. What is also odd, is that once track annotations is re-established, if the arrow is clicked on, it gets it's handles, it just won't move.
I have implemented a work around, I put the code to popup the menu in a timer which is always disabled. The annotation event just enables the timer and returns. 10 ms later the menu pops up, and the timer disables itself. This works fine, but the original problem should be fixed.
If you still need an example, let me know.
David