I think the problem you're having with your Kindle has more to do with you not understanding the features than with the Kindle. My suggestion is that you take a little time to read up on collections and how to use them. You'll find they'll give you exactly what you want.
As for the danger of the cloud, yeah those are real, but they're real more as potential than as imminent. Giving Amazon access to knowledge of what you're reading might become dangerous if we become a dictatorship and the government decides to kill people who have read certain books. At the moment it won't do much more than affect the book recommendations you get. And if you deny Amazon access to your Kindle, and you can, they probably already have so much knowledge about you from other sources that the difference would be trivial.
I suggest you focus your fears on something really dangerous like zombies.
Barry