Version 4.1.4 is only Kindle gen4 & 5 excluding the PW1
The Kindle gen3 to gen5 inclusive, inc. PW1 never get KFX. They mostly get azw3/KF8.
If the ebook is really old it may be mobi/KF7 and can named .mobi or .azw on the Kindle (without the 3). Whichever it is, copy to PC and rename to the other option and it will add to Calibre OK. Ironically this sometimes happens with DRM free titles.
Edit
See
https://www.amazon.com/gp/help/custo...MQC26VQQMM8XSW