IIRC the dictionary doesn't download until you try to look something up the first time (although it you can't highlight/select something I'm not sure how you'll initiate that). If you highlight one word you should be asked if you want to download the dictionary IIRC.
As for changing fonts you can't, the Kindle app only offers one font. That is to say you can change the font size (under view options in the menu), but not the font face.
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