The process of importing KFX format into calibre is complicated. I attempted to cover it in the
documentation for the KFX Input plugin. Here is what is relevant to your situation.
The various files that make up the book in KFX format are automatically combined into a KFX-ZIP archive during import by the Gather KFX-ZIP plugin, which is a component of the KFX Input plugin. In order for that to locate all of the files that make up the book they must remain in their original directory structure. In the case of Kindle for Android that means that the files must be within a folder with a name like "B123456789", as they were on the Android device.
During import select any of the files in that folder that has a ".kfx" extension. The Gather KFX-ZIP plugin will find the rest and combine them properly.
The next hurdle for you will be DRM removal. It might not be possible with books obtained from the Kindle for Android app. I suggest asking for help at
Apprentice Harper's GitHub if you run into trouble with that. (Instructions for DRM removal are not allowed on MobileRead.)
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Added: Refer to the
Dealing with Kindle for PC/Mac 1.19 and KFX in calibre thread for ways to avoid KFX format. That may be a better option for you.