I don't know about the "cloud not available" message, but even if you turn on WiFi, you'll still see the following message when you move side-loaded books into collections.
Content Not Synced
The item you added to this collection was added to this device directly from a computer. Adding it to a collection will not sync the item to the Cloud, so you may not see this item in your other Kindle devices or apps.
I would love a way to turn that off, but haven't found one yet.
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