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Is it possible?
This is not yet possible with Creo Illustrate, but is on our roadmap. We have enabled callouts on "combined" (welded) parts, but I beleive your request concerns "kits" of parts which will come in the future.
This isn't doing exactly what you want (I'd like to do that, too!). What I usually do is insert a callout or annotation to the biggest or most apparent part, or a part that is closest to where I'd really like the callout.