You've tried to annotate on your desktop (perhaps a webpage or a PDF) and while you can draw, your screen is locked in place. Look for a pair of icons on your desktop that look like this:

If you select the one that looks like "scribbles on a screen" (the left one), you can annotate, but you can't move around your screen, advance pages in a PDF, or even type in a new URL in the address bar of your web browser.

If you select the one on the right that looks like a computer screen without scribbles, it gives you control of the system. The right icon lets you move your screen around, or click on a webpage, advance PDF pages, etc. but you cannot annotate.

So you do have to click back and forth as needed, depending upon if you need to annotate (scribble, if you will), or operate the computer (screen without scribbles).

Alexandra at Promethean said "We apologize for this inconvenience, however this is a limitation of macOS and unfortunately beyond our control." on this forum link Problems Using Desktop Annotate with MacOs – Promethean Community.