The only downside is you have to bring them in to every project.
Since we can import many image formats as well as PDF files (note if you use a pdf file you can't share the project with Windows), you can make whatever you want in an image or pdf editor and bring it into your project. If that is not enough customization for you, then you can also make your annotations outside of Camtasia.
You can then save it back in with the Annotations for reuse in any project you want (use the Save style icon in the top/left of the Callout properties panel). You can pick the shape, background color, text font and color, border color and width, where the tail is pointing, and adjust the width and height as needed (open the properties panel to adjust the parameters). I don't know how much you want to customize them.
