@rdmx-
First thing to check is if you are set up to send the appropriate file type to your device. With your PW connected to your computer and Calibre open, click the down arrow next to the device icon in Calibre (or right click the device icon) and see if you have the appropriate file types selected and in the proper order that you want them sent...
If this isn't the problem, try posting in the Calibre forum.