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I'm not sure what your question has to do with Pages unless you are inserting the screenshot into Pages & then manipulating it.
I think it would be easiest to do the annotating of the screenshot in Preview then save the image. If you then want to insert it into Pages it would be a single, uneditable image.
To do it all in Pages you need to do the work with floating objects since you can't put one inline object on top of another. Use the wrap inspector to uncheck object causes wrap then insert a circle, change to color fill to none, resize/reshape it as desired, move it into position the select both the screenshot & the shape & go to Arrange > Group, cut or copy this grouped object, click to put the cursor in the body of your text where you want it to go & paste.
