@kyrilson: Looking at the images, with an epub you can easily achieve the same results as in the kfx. The scene break could have been lost at two places. Either the conversion is doing it. Or it is happening on the ereader.
I think the starting point is as @jhowell suggested, what does the calibre viewer show? If it matches the KFX layout, then is most likely the ereader or app you are using. Some override the styles completely, some have ways to override parts of it and others will try to respect what is in the book (with varying results). You would need to look at it to work out what it is doing.
If the viewer doesn't show the scene break, then it is probably the conversion. I do so few conversions that I have to play with them each time to get it right. It will be somewhere in the "Look & Feel" options, possibly on the "Layout" tab. I have a feeling I have produced similar results when changing options there.
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