Annotations rely on a file naming convention to determine if the file contains a ruler or an ROI.
If you click on File, Add Data and chose r.acsv to load, you can click on Show Options and a set of radio buttons will let you specify that the file to load is an ROI.
From python, the utility class is missing a loadAnnotationROI method, I'll add this to it today but you can copy and paste and use it now if you wish:

def loadAnnotationROI(filename, returnNode=False):
filetype = 'AnnotationFile'
properties = {}
properties['roi'] = 1
return loadNodeFromFile(filename, filetype, properties, returnNode)

loadAnnotationROI('r.acsv')

Pull request: https://github.com/Slicer/Slicer/pull/641

Python utility methods commited to Slicer:
http://viewvc.slicer.org/viewvc.cgi/Slicer4?view=revision&revision=25614

Thanks Nicole!