If you mean the ability to sync non-Amazon books on multiple devices, then yes, you need to use a relatively new feature of Calibre to accomplish this. I wouldn't count on Amazon letting that slip through forever, though.
I've never heard of sideloading anything to a Kindle bricking the device.
PDF handling is not the Kindle's strong suit (partly due to the small screen), but it depends on the page size of the document. Text-only PDFs can easily be converted to .mobi format, and read more easily on the Kindle.
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