My clippings will only log annotations that you make on your Paperwhite. The annotations will sync between Kindles and Kindle apps, but there is no way to export them directly, they are stored in a 'sidecar' file. I think there is a script that can extract notes from the sidecar file but highlights are stored in there as references (pointers) to content in the book. In theory those could be dereferenced and extracted as well (for DRM free books) but I don't know if anyone has attempted to write a script for that (e.g. as a calibre plugin). It would certainly be a useful thing. With books you get from Amazon you can login to kindle.amazon.com and find your annotations there, but these don't include Personal Documents annotations.
As a workaround you could go through all of the annotations on your Kindle and edit each one (probably need to delete and recreate highlights). This would generate My Clippings entries. But obviously that is at least duplicating work.
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