I've been downloading my KU borrows from my computer using their "Download and Transfer feature via USB" for as long as I've had KU. I read on my iPad using the Kindle app, but I also like to download a copy as well. As of this morning, when I checked and went to download a book I borrowed a couple of days ago, all my KU books now have this notice on them. Purchased books are still okay. I "download" to my Kindle K3. I've had that forever and keep it on my account for downloads. Not sure if there's any way around being able to download KU books anymore. If anyone has any ideas, I'd love to know.
Also, at this point, I am still able to download my purchased books (AZW or AZW3 format) and they are saving and converting (EPUB2) properly in Calibre without any issue.