In ArcMap, when using Convert Labels to Annotation to create annotation in the map, no annotation is created.
The layer is based on x,y coordinate data and the source table does not have a unique, non-null, indexed field. An index field is required to perform many layer operations in ArcMap including converting labels to map annotation. An index field is not required to convert x,y layer labels to Geodatabase annotation.
To add an index field to the x,y layer source table, follow the steps outlined in this topic:
<a href='http://support.esri.com/en/knowledgebase/techarticles/detail/20463' target='_blank'>How To: Enable Select by Attribute on an OLE DB table</a>
To convert the labels to Geodatabase annotation, in the Convert Labels to Annotation dialog box under Annotation storage options, select 'In a database'.