I’m referring to the very last image on that site. With notes I mean the text-based description of the main and alternative scenarios on the left side of the actual sequence diagram.
Since these annotations are not part of the sequence diagram notation, you need to create these notes using the “Text Box” shape in the Common palette, which allows you to enter description in rich text format. You may also find other tools like “Image” and freehand shapes (e.g. Callout, Rectangle) useful in elaborating your diagrams.
The Freehand palette just below the Common palette, provides set of tools that allow creating even more advanced annotation shapes.