I thought they removed that, even with a hardware Kindle? I managed to download all my ebooks via a python script before that, as I've purchased 100s of books via Kindle throughout the years, but seems they've disabled the approach I took at least:

As of 26th February 2025, Amazon has removed the ability to download backups of your Kindle books. Unfortunately, this means that this tool is no longer functional - https://github.com/treetrum/amazon-kindle-bulk-downloader

After removing that feature I kind of feel like it'll just be too much of a hassle, so stopped buying books via Kindle. But haven't found any better alternative either to be honest.