I believe this error probably indicates that you are entering subject-specific subject-space .annot files (e.g. the ones in your subject/label/ folders) instead of subject-independent fsaverage-space .annot files (the ones in your freesurfer distribution subjects/fsaverage/label/ folder). Simply select the latter .annot file instead, and that should work without a problem.

Just to clarify, for surface-based analyses CONN will be using your subject-specific lh|rh.sphere.reg files (in the subject/surf/ folders) generated by freesurfer to figure out the association between subject-space and fsaverage-space for each subject when extracting cortical-surface functional data. When you enter surface-level ROIs (i.e. .annot files or .img surface-mask files) those ROIs are applied to the surface-level functional data (already extracted cortical-surface functional data), so CONN expects those ROIs to be in fsaverage-space already. When you enter volume-based ROIs (e.g. .mgz or .img/.nii volume-mask files) those ROIs are applied to the volume-level functional data instead (before cortical-surface extraction), so CONN expects those ROIs to be in the same space as your functional data.