Save instead of Save as a copy in Evince Reader
It is how it works. You, however, can hit "Enter", and it will overwrite (update) your current file . I also do not understand the rationale to just have a "Save" command that does not prompt when a user wants to save annotations to the currently open PDF file.
This has been filed in issue 1281 and others. In an earlier issue, a developper indicated: "It works as intended, as Evince cannot guarantee loss of some PDF features currently unsupported by Poppler, the library used to render PDF.". As such, Gnome developpers prefer never to silently overwrite a PDF: overwriting it may discard/break features in the PDF that are not supported by the library.