“Everything's great!”

My manager avoids giving direct feedback until it explodes into a surprise bad review.

What's really going on

As a rule, nothing in a serious review should be news to you. If it is, your manager skipped conversations that were their job to have, not yours.
Some managers only feel comfortable delivering criticism in a formal, scheduled setting, because it's less awkward for them than correcting you in the moment. That's about their discomfort, not the size of the problem.
Occasionally, knowingly or not, it's a way of building a paper trail toward pushing someone out without the harder conversation. That's rarer, but it's worth naming to yourself if the review feels out of proportion or the criticism is vague.
A surprise review also tells you there's no regular feedback loop between you two, and both sides have been filling the gap with assumptions.

What to say

In the review itself

"Okay, some of this is new to me, so I want to make sure I really get it. Can you give me an example of when this happened, and what you'd have liked me to do instead?"

Change the words so they sound like you, but keep the tone.

Still in the guide for this situation

6 steps to take, in order
3 more word-for-word scripts
3 mistakes to avoid
2 signs it's time to escalate or leave

Plus the 24 other situations and the bonus chapter.

PDF guide · 92 pages

Corp life: I've already suffered so you don't have to

All 25 situations, each with what's really going on, the steps, the exact words, what not to do and when to leave
A “walk in curious” primer and a bonus chapter on the mindset that makes all of it easier
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Questions

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Is this legal or HR advice?

No. It is general career guidance based on experience. For decisions with legal or financial consequences, such as a contract, a dismissal or a discrimination complaint, talk to a qualified professional where you live.