How to annotate/markup an image with arrows and anatomical names

Not with the ExtraMarkups, I dont think that is possible.
Annotations, markups, and segmentation can be exported into DICOM format.

To my knowledge, no.

DICOM image data, metadata and markups nodes are different objects, represented differently in memory, and stored differently on disk. They cannot be blended in a single file. If you want to keep these together, you may save your scene as an *.mrb file and share or archive it.

And this “.mrb” file can be visualized in a DICOM viewer? How can I save in this way?

If you mean another DICOM viewer, no. The MRB file does not even contain DICOM files, these are saved in NRRD format. It has meaning within Slicer only.

Check the documentation.