Definitely take a few minutes and read the manual before deciding to return it. The 350 is a fine device. No, you do
not need to use the Sony software. Purchasing ebooks is going to be a challenge if you are trekking through the world, but downloading free items from the public domain and loading them up is very simple.
My suggestion is for you to check out
Calibre. It is free and is a great ebook cataloging program. It is Mac friendly (I use it almost daily).
Be sure to watch the demo video on the website.
It integrates well with the Sony, and every other ereader I have used. You can use it to upload ebooks to the Sony.
Once you get a stack of ebooks on the device - I myself have ~200 on my Kindle right now - you will have no need to download books while traveling.