Difermo--I'm sure someone will come along with better answers but here's a start
As far as I know, there is no way at all to put your own dictionaries on the Sonys.
For the Kindle, if you use the newer AZW3 format instead of mobi, you can embed fonts into your AZW3 files. I've done this and it works perfectly.
It is highly unlikely that Amazon will ever add support for ePub--so don't count on that.
I use Calibre and convert my existing ePubs to AZW3--and use simple commands in Calibre to embed the fonts I want in the documents.
Hope this helps!
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