I just tried this with one of the out-of-the-box face based air terminals and it seems to have worked just fine.
Can you see your terminal in a section/elevation view? Do you have 3D geometry created? If the object is not orthogonal to the view (as in the case with the sloped ceiling), the 3D model will be shown, instead of 2D annotation graphics... perhaps this is the issue?
Martin Schmid
Product Line Manager
Mechanical Detailing and Electrical Design
Architecture, Engineering, and Construction
Autodesk, Inc.