calibre does not currently support importing KFX format. The easiest way to accomplish this is to copy the book from the original calibre library to the one where you want it using calibre's "Copy to library" function.
As an alternative you can use the "Add books" function and manually select the "documents" folder on your Kindle and set the file type to "All files" instead of "Books". But doing it this way will not import any of the book metadata.
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