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Make sure that you have selected the option to "Create approximate page numbers" in the KFX Output tab of the conversion dialog. If you post a copy of the conversion log to KFX for one of those books I can take a look to see if anything is going wrong with page number creation.
I have attached a sample book created in KFX format using calibre that shows page numbers on my Kindle. You can sideload it to your device to see if the pages numbers appear.
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