Not 100% sure what a rounded note is, but, it sounds like your question could apply to any note, balloon or thing like that.
Unfortunately, no you can't link an annotation directly to an external file.
However, maybe there's a work-around.
You can link a block annotation to an external file, and you can include a note in a block.
The trick, is to edit the block and change the note to a read-only attribute. Otherwise, Solidworks will think you want the text for each instance of the block to be independent and the text won't update.
You can edit the note block file (sldblk) by opening it in it's own window and then editing the block definition in sketch1. (Don't rename the sketch or the block or else this won't work)
If you add the note block to your design library, then you can edit it by dragging and dropping the icon onto the Solidworks window header
I've included the block and the sample drawing I created as attachments to this post. You might have to edit the path of the blocks