Same issue here. The JSON in the API reference still uses annotations but it’s been removed from the Create Message docs.
I was planning on using that but it’s not a big deal. I wasn’t clear what the model generates first anyway – the annotation or the text and I do need a well-defined order.
Edit: I had questioned if the docs are correct but it was I that was mistaken. The annotations are still in the response JSON and it’s documented that way on the message object. It’s just with “Create Message” there is no way to add annotations.
Create Message:
Message object:
https://platform.openai.com/docs/api-reference/messages/object