You are correct, you can sideload, but as soon as you open them in your Kindle, they get an Amazon-DRM; so you can't read the very same files on another e-reader. And - as soon as you go online with your Kindle - said DRM is checked and all non Amazon books deleted. At least, that was the case 10 years ago: I still own a Paperwhite 1st Gen which is now basically defunct.

I switched to a Poke 5P (Onyx) and was surprised at the tons of features. No ads, no DRM and reads basically all formats. Win.

I downloaded all my Amazon-bought books, so I can still read them on PC, but otherwise I'm done with their product.