The only way you can create notes on one device and have them appear on the other is by emailing your books to Amazon. The books can be in old mobi or dual mobi format, that doesn't change how sync works, but yes : sending dula mobi is better.
My previous comment just stated that you can't use programs that just parse MyClippings.txt file (most of them do just that, no idea how Calibre's "annotations" feature works: does it parse MyClippings.txt or sidecar files) if you expect to have notes from all of your devices. That way you would get only notes created on you PW2, the ones you made while reading on your Kindle Fire would be missing.
And that "sync notes via cloud" feature doesn't utilize (or populate) MyClippings.txt file.
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