At the moment FDFDoc.CreateFromXFDF() does not support loading annotation elements.
Since XFDF is a simple XML format you could use Java XML API (http://java.sun.com/developer/codesamples/xml.html) to load XFDF data and use FDFDoc to create and serialize FDF (similar to SDF sample - http://www.pdftron.com/pdfnet/samplecode.html#SDF). To inspect the contents of existing FDF you can use free CosEdit utility (http://www.pdftron.com/pdfcosedit/downloads.html).