You download via USB from Amazon's Manage Your Content and Devices page, it's not done via your kindle.
If you select the book on MYK page then right click one of the options is download via USB. You select the kindle it's to be transferred to (theoretically), then Save, and the book appears on your PC in your downloads folder, or where ever you send downloads to. You then load that copy into Calibre.
I allow the KFX to download to my Kindle then I also download a separate AZW version which goes into Calibre.
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