With Mendeley you can annotate* PDFs by adding highlights & text notes in the PDF.
In the Desktop:
Online:
You can also keep general notes about the entire article to the right of the PDF view
*Note: While you can annotate PDFs in Mendeley this functions much like a sticker overlaid on a PDF. This means that while you will be able to export your notes out of Mendeley (with the PDF) your highlights will not be exported as they are not inherent to the PDF.