I keep running into this problem. Ran into it when trying to make roof opening families, when making custom RTUs, when making overflow roof drains, and now I am running into it again when trying to make moment connection symbols for slightly sloped KCS joists.
It's easy enough to make a generic annotation for a moment connection and place it at the ends of a KCS family (basically a K-series joist family with different Identity Data and a few additional parameters). Works great -- as long as the joist stays horizontal. But as soon as you make the joist sloped, the moment connections disappear, because they are no longer parallel to the picture plane (see the .GIF).
So I figured, "I'll nest the moment symbols in another family, make that family "Always Vertical," and nest that into the KCS joist family. That way, the symbols will stay parallel to the picture plane." Except that it doesn't work. The generic annotation does not show up at all when the Always Vertical family is inserted in the KCS family. Well, it shows up in the family editor, but not when the KCS is inserted in a project. Even if the KCS is horizontal, the annotation part doesn't show up. Any model lines in the Always Vertical family show up fine in the project. Symbolic lines in the Always Vertical family show up only if the beam is horizontal.
Does anyone know some other way around this? Right now, I'm faking the moment symbols with model lines, but that's a poor solution. It's not a true filled region, and it doesn't stay a constant size on the sheet.