If your trying to swap a DRMed file between devices, they are designed not to do that. The DRM locks that file to the device downloaded. The file may also be a KF8, and I don't know that they ever updated the DX to use them.
If you download the file to the DX, that file will be locked to the DX. It will also be sent in the correct format for the DX. You can also go to the 'Manage My Kindle' page and have a file for the DX sent to your computer and transfer via USB.
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