While annotating my team's prototypes for client perusal, I noticed that a teammate's pdf was missing part of the text and imagery I could see in their Sketch file. I consulted my team, but a probable cause didn't come to mind. So, I did a bit of digging in Sketch. Turns out, some of their layers weren't on the proper artboard. So when the artboards were exported to pdf, those layers weren't included.
Later when working on another teammate's prototype, I discovered that their labeling was inconsistent. Additionally, their groupings for each prototype's page either left several layers out or continued across pages, so that when I selected one page to drag to a new artboard, elements on another would also be selected. So before I could putting each element of the prototype on its own artboard to simplify exporting them to pdfs, I had to consolidate their groupings.
While these issues were an easy enough fix, overall I spent more time troubleshooting Sketch files than actually annotating them. So even if properly labeling and grouping your layers might take a bit of extra time, in the end, gosh darn is it worth it.