That conversion error is caused by KFX formatting that is not yet handled by the KFX Input plugin. This will be fixed in the next release of KFX Input.
You can get the conversion to succeed by selecting the option "Allow conversion to complete even if errors are detected" in the KFX Input tab of the conversion dialog. Or you can obtain the book in a format other than KFX. See the thread
Dealing with Kindle for PC/Mac 1.19 (and later) and KFX in calibre for ways to do that.