I inserted annotations in the following C program following the reply above by SergeyK, but I still get " Warning: No SITE annotations were encountered."  

#include <stdlib.h>
#include <stdio.h>
#include <stdint.h>
#include "/opt/intel/advisor_2020.2.0.606470/include/advisor-annotate.h"

int64_t * Complex_If(double *data, double *input_lengths)
{

    int in_size =  sizeof(*input_lengths) / 8;
    int in_len = (int)input_lengths[0] / 8;
    int in_len_8 = (int)input_lengths[0];

    int dsize1 = in_len;
    int dsize2 = in_len;
    int dsize3 = in_len;
    int dsize4 = in_len;
    size_t new_dsize;
    int Num_In_List_val;
    static int64_t Return_Pointer_Array[8];

    double *collect1 = (double *)malloc(in_len_8);
    double *collect2 = (double *)malloc(in_len_8);
    double *collect3 = (double *)malloc(in_len_8);
    double *collect4 = (double *)malloc(in_len_8);

    int collect1_ctr = 0;
    int collect2_ctr = 0;
    int collect3_ctr = 0;
    int collect4_ctr = 0;

    double list1[] = { 10.364, 84.02, 29.127, 2.0, 87.35, 7.64, 
             14.2, 98.0, 54.65, 54.22, 8.23, 16.21, 
             129.7, 22.0, 87.35, 17.64, 214.32, 
             1598.4235, 54.65, 54.22 };

    int list1size = sizeof(list1) / 8;

    double list2[] = { 10.364, 84.02, 29.127, 2.0, 87.35, 7.64, 
             14.2, 98.0, 54.65, 54.22, 1598.4235 };

    int list2size = sizeof(list2) / 8;

    int i,j,k;
    double num;
    double list_num, data_num, inner_num;

    // Function declarations
    int Num_In_List(double, double[], int);

    ANNOTATE_SITE_BEGIN(Complex_If);
    for (i = 0; i < in_len; i++)
    {
        data_num = data[i];

        if (i == 0)
        {
            ANNOTATE_ITERATION_TASK(Complex_If_task);
            for (j = 0; j < list1size; j++)
            {
                num = list1[j];

                Num_In_List_val = Num_In_List(num, list2, list2size);

                if (Num_In_List_val == 1)
                {
                    collect1[collect1_ctr] = num;
                    collect1_ctr += 1;

                    if (collect1_ctr >= dsize1)
                    {
                        new_dsize = (dsize1 + collect1_ctr) * 8;
                        collect1 = (double*)realloc(collect1, new_dsize);
                        dsize1 = new_dsize / 8;
                    }
                }

                if (Num_In_List_val == 0)
                {
                    collect2[collect2_ctr] = num;
                    collect2_ctr += 1;

                    if (collect2_ctr >= dsize2)
          	         {
                        new_dsize = (dsize2 + collect2_ctr) * 8;
                        collect2 = (double*)realloc(collect2, new_dsize);
                        dsize2 = new_dsize / 8;
                    }
                }
            }
        }

        for (k = 0; k < list1size; k++)
        {
            list_num = list1[k];

            if (i == 0){ inner_num = num; }
            if (i > 0){ inner_num = data_num; }
           
            if ((i == 0) && (k == 0)){
                printf("k: %i\n",k);
                printf("num: %f\n",num);
                printf("list_num: %f\n",list_num); }

            if (k <= 3) {
               if (list_num > inner_num)
               {
                   collect3[collect3_ctr] = list_num;
                   collect3_ctr += 1;

                   if (collect3_ctr >= dsize3)
                   {
                        if (collect3_ctr > sizeof(*collect3)) {
                            new_dsize = (dsize3 + collect3_ctr) * 8;
                            //printf("collect3 re: %i\n",new_dsize);
                            collect3 = (double*)realloc(collect3, new_dsize);
                            dsize3 = new_dsize / 8;
                        }
                    }
               }

               if (list_num < inner_num)
               {
                   collect4[collect4_ctr] = list_num;
                   collect4_ctr += 1;

                    if (collect4_ctr >= dsize4)
                    {
                        new_dsize = (dsize4 + collect4_ctr) * 8;
                        collect4 = (double*)realloc(collect4, new_dsize);
                        dsize4 = new_dsize / 8;
                    }
               }
            }
        }
    }
    ANNOTATE_SITE_END();
    
    Return_Pointer_Array[0] = (uintptr_t)collect1;
    Return_Pointer_Array[1] = collect1_ctr;

    Return_Pointer_Array[2] = (uintptr_t)collect2;
    Return_Pointer_Array[3] = collect2_ctr;

    Return_Pointer_Array[4] = (uintptr_t)collect3;
    Return_Pointer_Array[5] = collect3_ctr;

    Return_Pointer_Array[6] = (uintptr_t)collect4;
    Return_Pointer_Array[7] = collect4_ctr;

    printf("collect1_ctr: %i\n",collect1_ctr);
    printf("collect2_ctr: %i\n",collect2_ctr);
    printf("collect3_ctr: %i\n",collect3_ctr);
    printf("collect4_ctr: %i\n",collect4_ctr);

    return Return_Pointer_Array;
}

int Num_In_List(double num, double list[], int list_size)
{
    double list_val;

    for (int i = 0; i < list_size; i++)
    {
        list_val = list[i];

        if (num == list_val) {
            return 1;
        }
    }

    return 0;
}

void Free_Mem(double * buffer)
{
    free(buffer);
}