Unfortunately, Diigo doesn't have that feature yet. In my mind, that is the only thing that Diigo is lacking. I know that they're working on it! You can bookmark the location of the PDF url in Diigo, and then you can make comments on the whole page. If you want to mark up your document, you can upload it to http://embedit.in as a public embed. The software on that site allows you to mark up your document with a red pen (no highlighting, sticky notes, typing, or shapes, though!). Then you can add that bookmark to your Diigo library. It's a very imperfect workaround, but it can get the job done for little things.