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Nothing wrong with having stuff on their cloud, though I suspect that's not what you're doing -- that would be emailing it to your Kindle, not just sideloading.
It's not a big deal, so long as you don't mind having to tap away from a nag each time you add an Amazon book (including the ones you emailed) to a collection, asking you to connect to WiFi to update Amazon's collections record. Two nags, if the book is converted and sideloaded, as it will then complain that it can't record it in the cloud.
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