You can't see the sheets from a file that you have linked into your model....only the modeled information will come across.
You can point to see a specific view from the link by going into Visibility Graphics, Revit Links, set the Display settings to Custom, then on the Basics tab, select Custom and point the Linked View to a view in the model (Sheets are not an option).
This will allow you to see the annotation on that view from the link.