Adding page numbers isn't done though conversion for books in MOBI and KF8 (azw3) format. Kindles use a separate APNX file to contain page numbers for those formats.
As far as I know by default calibre will automatically generate and send that file along with each book when using the Send to Device function to send to a Kindle. If you copy the book manually or send via email this file won't be created and page numbers will not appear.
There are configuration options to change have page number are produced and sent. Go to to Preferences, Plugins, Device Interface, Kindle 2/3/4/Touch/PaperWhite/Voyage Device Interface, Customize plugin.
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