Back in the day, the two options used to be "Cloud / Device".
But apparently Amazon decided it was too confusing to people who only buy from Amazon, so they switched it to "All / Downloaded" a few firmware revisions ago. (Maybe around the 5.6.0 update? I forget the exact version.)
...
The fact that you realized what was going on at all, rather than posting frantically here asking where your books went to, puts you towards the front of the pack.