Labels are dynamic—they are regenerated when you pan and zoom around the map. By default, they will be drawn using the same size symbol, regardless of the scale to which you zoom. Not all features can be labeled using an 8 point font at the full extent of the feature class, but if you zoom in, there will be more space around the features, so more labels will be drawn.

Unlike labels, annotation is static. Annotation features are stored. They have a fixed location and a reference scale, so when you zoom in, the text gets larger on the screen.

You can make labels behave more like annotation by setting a reference scale. This should be the scale at which the map will most commonly be used. When you convert the labels to annotation, you want the annotation to have the right reference scale so it will be drawn at the right size, relative to the features, on the maps you create.