If you look under Preferences->Advanced->Plugins->Device Interface plugins then you will see ones for the Sony and the Kindle. If you select the Customise for either of thos, you will be given the list of formats it supports, and the priority order that should be used.
When you send to a device, Calibre uses this information to select the format to be used. If you try and send a book that has no compatible format already in your Calibre library, but has another format, then Calibre will ask if you want to convert the book before sending. You can have multiple formats stored against a book entry, so it is no problem to have both epub and mobi present.
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