How to generate a multiple sequence alignment that retains the annotations from the original sequences?

Muscle can do this. If you save your alignment in aligned FASTa (.afa) format, which is default, all sequence headers will be preserved. Assuming your starting file is protein.fas:

muscle -in protein.fas -out protein.afa

After that the alignment can be converted to Stockholm format using HMMer's esl-reformat utility:

esl-reformat stockholm protein.afa > protein.sto