Win+shift+S brings up the screenshot tool, then you can just box around whatever you want and it auto-throws that into the annotation tool. You are also able to paste either the pre-annotated screenshot or the post annotated screenshot from the clipboard into other apps without any fiddling about. No need to change default behavior for this extremely common use case. If you are doing it over video, it conveniently freezes the output for the purpose of the screenshot at the exact moment you hit the key combo (without pausing the video or game in real time). It's miles better than the macOS workflow.
And on Mac you just press Cmd + Shift + 5. You get every option you want. Send to clipboard, documents, desktop, Preview.app (to annotate, make changes, whatever), Photoshop (if you have it). Draw boxes of what you want, select individual windows, select the whole desktop, even record video.
On Mac you can have exactly the same (and actually more feature rich) workflow.
Edit: Oh and I forgot one feature which is actually incredibly useful, you can even set a timer until it takes the screenshot. This is great if you need to interact with the window or show state with a highlight for example.
