I believe that you need to have an eInk Kindle registered to download from My Content and Devices. You will need to use Kindle for PC to download them to the My Kindle Content directory in Documents. You will need to follow the instructions in the following thread to use Kindle to PC to download files you can easily read into Calibre instead of KFX files:
https://www.mobileread.com/forums/sh...d.php?t=283371