Should I even address this on my annual performance review?

I received my annual performance review today. The final portion of the review involved opportunities - this would be where my manager and/or my peers and co-workers would state areas of improvement. My manager stated he did not receive any areas of needed improvement from his 360 review from my peers and he could think of none. I should just keep doing what I am doing.

This has been a huge frustration of mine. I want and need to know how to be a better asset for my position, my department and my company, how to improve, what is going to take me to the next step. And yet again, no answer. The manager who presented the review has recently moved to another position and my new manager was in the meeting when the review was presented. I have voiced this same frustration to my new manager.

Should I address this on my review, as I have the opportunity to address any concerns? Or leave it as is and start anew with my new manager?

Thank you all in advance.