Documents, Multimedia, and Key Docs are the tabs at the bottom of the documents list. Documents are your “clean set” that do not save any annotations, so if you highlight a document, and then select another document, the annotations on the first document will be cleared. The way to save an annotation on a document is to use the Key Doc feature, where you annotate a page or document and then tap on the Key Doc icon in the top right. You can also make all the Documents Key Docs by pressing Select > Select All > Edit > Add to Key Docs.
Key Docs are references to the original Document (similar to a “Shortcut” on a PC, or an “Alias” on a Mac) and any annotations applies to a Key Doc are saved. So you could have several Key Docs made of the same one page of a Document, each with different annotations, that you might use for different witnesses. You can delete one or all of the Key Docs without affecting the original source Document. However, if you delete a Document, any Key Docs that were made from that Document will also be deleted.