If you have a Kindle ereader registered on your Amazon account you are give an option to download and transfer via usb. At the moment this always gives you a file with the extension .azw3 or sometimes .azw. Calibre fully supports these files. However, Calibre does not fully support kfx files, which are now delivered to all later Kindle models by default. Even K4PC delivers kfx files, though there is a workaround to get the older files which Calibre does support.
The key to your Amazon files being fully supported including viewable in Calibre is to get .azw3 or .azw files rather than .kfx. for importing into Calibre. Files downloaded directly to your device will be .kfx.
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