When I use Illumina VariantStudio 2.1, I can merge many VCF into one VCF file and then annotate it. While I use the same method with Illumina VariantStudio 2.2, it goes wrong!
I've found a VariantStudio 2.2 user guide that you can download in the PDF file format. The user guide contains all the necessary information about the way you have to work with the VCF files.
Access the following website then click on the middle link to save the PDF file. I've opened it and there is a full chapter dedicated to annotations.