Not a problem
The Sony format is LRF (and I think LRX, but I'm not sure)
I think I've seen that a couple of other UK people have registered theirs as being in the US - the main advantage seems to be access to Sony's freebies.
I can't remember what the activation for Digital Editions entailed - that is the activation you need for epubs though.
I've found that performance-wise LRF seems to be faster than epub to load. I've also converted some PDFs I have to LRF, and the file size of the LRF has been smaller. PDFs don't always display as nicely as the other two formats - I don't find it much of a problem with novels, as I can read them at the smallest font size, but with technical documents and the like things can look really odd.
For free books you might want to try here - all of the books here have been formatted and uploaded by various MR members, and also places like Feedbooks and, if you're into sci-fi or fantasy Baen Free Library