@NNolan. If you don't get azw3 via the download by USB what are you getting? You sometimes get .azw, which are basically mobi format, or reportedly can get an azw4 which is a "print replica", which I believe is basically pdf. azw is fine, but azw4 has all the usual drawbacks of pdf. I haven't heard of anyone getting kfx files via this option.
In relation to not being able to transfer books to your kindle, you may wish to post in the Calibre forum. You probably won't get much help unless you also run calibre in debug mode, try to transfer books and then post the log, preferably using a spoiler tag. Good luck.
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