Every time I haven't been able to eject my Kindle on my Mac, it's ended up being some sort of corrupted filesystem issue where I had to boot from another partition and run the Disk Utility to fix it (or on one occasion, back up the disk and wipe and reinstall the OS).
So perhaps you might want to run whatever system-checking utilities you have on Windows, just in case.
As for new books not showing up, I've heard that sometimes rebooting one's Kindle helps with that.
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