Some books when downloaded directly to the device will be in the new KFX format (to enable enhanced typesetting). The only way I know of to get them in a "regular" format such as AZW3 is to go to Manage Your Content & Devices on the Amazon website (under Your Account) and download them to a computer for loading to a device over USB (Actions--->Download & transfer via USB) or to download them using Kindle for PC (or Kindle for Mac).
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