Calibre supports CBZ and it should be fine if you're converting from AZW3/KFX/EPUB to CBZ. For CBZ to ebook conversion though, I prefer to use Kindle Comic Converter (there's a thread here somewhere).
Amazon used to use AZW3 for comics but now they've been switching to KFX.
Sandman is DC Vertigo and at least in the US, I've only seen those on Amazon and B&N. No DC or Marvel on Kobo US I've seen so I've just stuck with Amazon.
There's a Sandman sale going on in the US right now. Perhaps there's one in the UK, too?
series page:
https://www.comixology.com/The-Sandm...ics-series/349
sale page:
https://www.comixology.com/comics-sa...d=30686&lang=1
$5 per volume is pretty much the lowest they go.
What I tend to do is browse by series on comiXology because they're much more organized (even tells you what collections the individual issues are included in). When I find something I want, I go to Amazon website to search then purchase. I never buy directly from comiXology unless it's from a publisher that allows DRM-free backups. If comiXology price is lower than Amazon, I just report it to Amazon (via the tell us about a lower price link) and it usually gets changed in a day or so.
DC is pretty good at milking customers. I don't even want to count how many different releases they have for Watchmen. Definitely be wary of collector-itis.
