Yes, you're right that it's mostly Kindle bug. But because it's not visible anywhere in DOCX->calibre->epub->kindle chain, it's kind of hidden from the user until the very moment of 'where are my glyphs?' when reading on actual device.
Hence my suggestion about the possible conversion warning. I still think that conversion quirks/known problems/known misses (for example non-conversion of MathML, non-support of small caps, non-support of fake-bold) should be clearly reported to the user. At least it's convenient for the user and prevents future questions/bugreports.
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