The resulting files are corrupted, when I appempt to open them I see a "Could not open file: [...].pdf" system pop-up and a black screen in Sioyek.
I think the issue is in the amount of highlights (several hundreds), maybe together with the fact that some of them are "broken" (due to the files themselves handling RTL-LTR transitions and math expressions poorly). I tried opening clean versions of the same files and adding a couple of highlights to them (including "broken" ones), and the annotations were embedded properly, only the heavily-highlighted versions became corrupted.