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Well you are using two instances of very poorly designed software -- the Kindle app and Finder. It cannot be calibre's job to compensate for the bad design of random external software.
If you find importing from the Kindle app hard to do, I suggest you instead download books from the manage my content page on amazon.com. That is the workflow I use personally. Once you have imported your existing collection, in the future importing a couple of books a week (at most) is a snap.
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