Always convert EPUB to AZW3. AZW3 is the new-and-improved MOBI.
Converting the EPUB to AZW3 is if nothing else an important part of future-proofing your library.
If you already have a MOBI, then that MOBI definitely doesn't have the features unique to AZW3 and the markup is already garbled... so I wouldn't bother converting to AZW3. It doesn't hurt, but it doesn't really help either.
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