Select a drawing tool: four colour presets appear on the right of the toolbar. Click the active one (or the small arrow next to it) to open the style panel: stroke colour, fill colour, opacity, thickness and line style. Your choice is remembered for the next markups made with that tool.

Style panel of an annotation: Stroke and Fill tabs, colour palette, opacity, thickness and style.
The style panel of an annotation tool.

For an annotation that is already drawn, click it with the selection tool: the same style panel opens so you can change its colour, thickness or opacity.