Whenever you create a connection, Sheetgo creates a new sheet on the destination spreadsheet. This sheet is underlined green and usually locked to prevent you from doing any manual changes as this sheet is managed by Sheetgo.
Annotate the destination sheet
In order to annotate and leave notes on the destination sheet, you can create a new sheet next to the sheet which is managed by Sheetgo (the green underlined one). Then use the ARRAYFORMULA to bring over the data from the original destination sheet to mirror it. In additional columns you can now add your own notes to annotate the destination sheet data.
Imagine the original destination sheet has just one column A that holds your data that you want to annotate. Create a new sheet and use =ARRAYFORMULA(Orig_Sheet!A:A) in the cell A1 to transfer over the data. Then you can use column B and so forth to add your additional information. It's good practice to set column A to read-only to prevent anyone from making changes and thus breaking the ARRAYFORMULA. You may also want to color column A differently for people to directly see that this column shall not be edited.