Modern Library has (at least) a couple different series under their name. I think the ones you're referring to are the RSC (Royal Shakespeare Company) versions.
The RSC versions are annotated with links in the text to the notes in back.
E.g.
https://www.amazon.com/Henry-V-Moder.../dp/B0036S4ATU
Non-RSC versions have notes but no links to them.
E.g.
https://www.amazon.com/Tragedies-Sha.../dp/B000FC1KP2
A while back I read the RSC version of Coriolanus, using both a Fire and an old E Ink Kindle (non-touch screen). The profusion of links made reading on a Fire easier. A touch screen E Ink device should work as well. Hitting the links may be a problem if you use a small text size. I recall that I edited these to increase the line spacing.
FYI, there's also an RSC Complete Works available.
https://www.amazon.com/William-Shake...dp/B00BO4GSA2/