I've never used the direct download option except on my Nooks. Oh, and the Kindle because I don't want to install another program on my computer to get the books into Calibre. I can drag them over from the device if I want to.
I like having to download to my computer first and then put it on the ereader. That way, I've got at least one backup copy of the book, all nicely de-DRMed in Calibre.
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