I've been a Paperwhite user since 2012, and probably a Calibre user from about then also.
I download and sideload all of my eBooks through Calibre with the help of a plugin or two. I Always have. All of my eBooks have been processed this way.
I bought a new PW 3 - Gen 7 in 2017, and successfully moved the contents of my old PW 2 to the new PW 3 just straight through an USB computer connection. There are some tricks and things not to do, so I wrote a brief, personal guide.
No issue with the documents and their folders containing highlights, bookmarks, and notes for each document. But, on the eBooks, I made a note in the guide that says if I do this again, don't copy the books associated folder. I do lose that book's highlights, bookmarks, and notes, but a new folder is created and the eBook works. Occasionally, there is a cover problem, but I use Calibre to fix those.
I'll probably buy a new PW in 2022, and am second guessing my guide on how to do this. Why did I say not to copy an eBooks associated folder? Stupid question because I wrote the guide, but hey, getting up there in the years...
Thanks for any replies!