When converting labels to annotation at a zoomed in extent, the placement of the annotation may be different than the original location of the labels. This behavior is common when annotating polyline feature classes, but may also occur with the other feature class types.
This is by design. Unlike the 'Label Features' command, 'Convert Labels to Annotation' accounts for the extent of the entire dataset when making the conversion. The 'Label Features' command places labels according to the extent of the data view. When converting labels to annotation, the labels may be moved for better placement within the scope of the entire map, rather than merely the extent displayed within the data view.