Map Manager contains most of what you need. The topic in the Map Contents Help instructions is Map Management The Export topic explains how to convert Map Features to MicroStation elements. The Labeling option, once used, adds the Annotation menu…

...in the "Map Manager" select multiple map layers (using the control key selection method) that have existing labeling, then right click "Annotation..." and choose the destination model and you should be able to create annotations from multiple layers…