There is an option in OnSong that could disable annotation output, so you'll want to make sure that option is correctly toggled. Go into the Share Menu by tapping on the square with the up arrow icon in the Menubar. Next, choose Print to view a print preview. Tap on the wrench or ruler icon in the lower right corner to open the Print Options Menu. Select the Output Options tab and scroll to the Extras section. Ensure that there is a checkmark adjacent to the Include Annotations option.