Exact same problem happened to me.
@mariej, I found the folder you talked about under Documents>Endnote>“Name library”.Data
The name of the folder didn’t have the same number as the URL but that’s not a problem, I went through the filenames manually. However, when I found the right pdf, the annotations were gone and only the original pdf I placed into Endnote was available.
I’m using Endnote X9 on Mac, maybe this fix only works for Windows or other versions?