Yes, you can sort them into folders with Cloud Collections firmware, but the collections won't be synced.
I would expect deleting and reloading the book to retain the collections, as it does so on my Kindle Touch. But no promises.
At least on the older firmware, collections are not cleaned out until you reset the Content Catalog, e.g. logout and in again, or do a factory reset.
Annotations (highlights/bookmarks/notes/etc.) will work on sideloaded books, and when you delete a sideloaded book the annotations data is not deleted. (calibre's Delete From Device does a more thorough delete though.) I guess Amazon doesn't want you to lose your notes accidentally.
You must make sure the book is re-added to the exact same filepath. If sideloading with calibre, then depending on your filename save template certain metadata changes may impact the filename!
I don't believe Amazon has ever expressed their displeasure at people overusing their Personal Documents Storage, and they explicitly allowed you to have 5GB -- until changes with their Cloud Storage service, when they seem to have removed any limit whatsoever?
Anyway, I wouldn't worry.
I don't have a KV, so I will let someone who does have one respond, but I haven't heard any complaints about it's responsiveness.