Kobo works better.
1) Use Calibre and Kobo Utilites (Best soiution and why I'd not go back to a Kindle). Select book, Kobo Utility menu Import Annotations, copy to clipboard and paste into any program or a custom Calibre column. Windows, Mac or Linux.
OR
2) Enable menu item on long press of book to export highlights, annotations & bookmarks by adding a line to the kobo config file. This creates a text file, better than the Kindle one, but not as good as option 1.
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