[Quoth]

"Send to Kindle" or Calibre conversion to AZW3 (or KFX) and sideloading are to put your own documents on your own Kindle. Not useful for publishing.

Kindle Preview is to give someone who knows little and has no actual Kindle ereader an idea of how it might look if they published. It's not accurate.

Amazon used to provide previews when you uploaded in advance of publishing, but now they give you an epub for "Send to Kindle"!, which is the same epub you uploaded if you uploaded an epub. So if we do new formatting we are not sure of we publish, buy a copy and use the system so we get a mobi (we have an old kindle), KFX (whispernet to Paperwhite 3) and azw3 /KF7 (Download and transfer for PW3). Then if a problem, unpublish!

There are basically four kinds of physical Kindle (all monochrome):
1) Oldest ones that can only do mobi (KF7) Kindle format. May do something with PDFs. The 1st only has 4 shades. There are only basic serif, sans and monospace fonts with bold and italic and bolded italic. No publisher fonts or other user fonts. Only Latin/Roman Western alphabet with some modern Greek letters. Possibly Icelandic, German, French & Spanish characters.
2) Ones that can also do azw3 (KF8). For some like K3 it was a later update. All are 16 shades (14 greys, black & white. LCD/OLED/CRT/Plasma/LED is 250 to 1000+ grey levels and colour. They can't do KFX. They do allow any font (via user adding or publisher embedding) and have many fonts built in.
3) Ones that also do KFX. There may also be Right to Left support, more user interface languages.
4) Ones that also have KFX sticky notes. At least the Scribe.

The Amazon Fire is actually an adapted Android Tablet and was confusingly called the Kindle Fire originally. It uses an App for ebooks very like the Kindle App for Android. So like Android, it's colour and supports formats not supported by actual Kindles.

Due to Apple imposed limits on browser use, the Kindle iOS was abysmal compared to Apple Books (formerly iBooks) or Kindle for Android. The Classic Kindle for Mac is being replaced by one based on Kindle for iOS, which may now or soon be more like later Kindles and Kindle for Android.

Amazon has many formats, some now dead:
The prc, mobi and azw are usually KF7 or old mobi. Only generic sans, serif, monospace Latin/Roman Western fonts. Only inline styles on HTML3. Usually only delivered to people that have ancient Kindles. Or very old ebooks uploaded maybe more than 10 years ago as mobi.

An interactive mobi used for games (dead)
There is Kindle for Android app and Kindle for PC programs. No Kindle for Linux, even though Amazon uses Linux and the Kindle is based on Linux.

A different interactive format for immersive interactive ebooks (dead?).

Various fixed layout systems, called Print Replica. One may be encapsulated PDF as some sort of azw? A newer one is using KFX.

Regular azw3, which is a reflowable ebook, can have fonts, CSS, basically HTML5 and is nearly identical to epub2 (There was no epub1, because the earlier 1998 scheme wasn't called epub). The azw3 display looks very like Adobe rendered epub2.

KFX is a completely different purely Amazon design (They inherited mobi/KF7 when they bought Mobipocket in 2005, and azw3 is very much based on epub2 with Amazon DRM). It can do reflowable or fixed layout (Print Replica). Unlike the others it ALWAYS has encryption (DRM) even if publisher asked for DRM free. Unlike the others it's designed for Mobile (Cell) or WiFi Whispernet as it can start displaying while downloading.

If you have an actual physical Kindle (or a Fire, I think), you can get by Whispernet when you buy or download in your browser (ANY OS: Mac, Windows, Linux, iOS, Android) as long as what you download on has a USB port that can connect to a Kindle (or Fire Tablet) and some method to copy the downloaded file. Using USB file copy (some Kindles and the Fire use MTP mode) to load an ebook or PDF on a Kindle (instead of Whispernet) is "sideloading". You can in theory sideload using the browser on a Kindle on your LAN via WiFi, or a DRM free kindle format file from the internet.

If you use Whispernet, you get KF7, KF8 or KFX depending on model of Kindle or possibly the ebook if ancient. You don't choose.
If you use "Download to PC for USB transfer" (Actually Browser on ANY OS), then you pick Kindle destination and thus Amazon decides on mobi/prc/azw (KF7) if an ancient Kindle, or KF8 for most other Kindles (the Fire Tablet and Scribe maybe use KFX), unless it's an ancient file uploaded as mobi. Amazon makes the file formats of all three from either an epub uploaded (recomended), docx or maybe doc. Page breaks only work on all formats if upload was an epub and each new page is the start of an internal HTML file (an epub2 is simply a renamed zip, you can rename and unpack!).

Android app confusingly uses the old mobi .prc ending for azw3 or KFX (and usually only gets KFX now).

This is not everything and may have errors.

I don't know how Amazon Comics work.

So only the eink models are "real" kindles and only reflowable KF&, KF8 and KFX are "real" ebooks (both for a given debated value of "real").
How read in order?
A slim majority read on phone Apps.
Tablets inc Fire
eink
PC/Mac programs.

Audible is the audio book company Amazon bought in. Almost all are listened to on a phone app. You can sync ebook to Audible position.
Hardly anyone uses an ereader for audio books as the battery like advantage over phones is lost and a more awkward GUI and physical size. Only later models support it (and only via BT). Early Kindles do have audio sockets for Text to Speech and abysmal MP3 player. The PW3 can use a cheap USB audio adaptor for Voice View. Later Kindles have Voice View and Audible via BT. Voice View can do Text to Speech, but then the visual UI is working sensibly. It's a badly thought out accessibility feature for blind and partially sighted. If sighted, then Text to Speech on the Pocketbook app on Android or the early Kindles is far better.