Converting PDFs may cause lots of problems. PDF is a horrible format to use as a basis for conversion. The page number was probably written onto each page of the PDF, and that is why you see it in the converted file, even if it winds up in the middle of the "page" on your kindle.
No, Kindles do not support ePubs at all currently. Those you still need to convert, BUT they will convert much much better to mobi than your PDFs.
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