Use the fine drawing tool used in other Office programs. The drawing tool in OneNote leave much to be improved. It is not possible to attach ie a circle to a photo. If you insert text over the photo, the photo will move but the circle will stay.
Jeremy Marx commented
My Surface Pen should be extremely useful for circling things in OneNote. It is not.
Example: Importing a slide deck into OneNote to take notes. I was circling some key points. Unfortunately, when the slides (as photos) moved, my marks did not. Now they're just doodles.