Check with the folks that support Calibre.
Check what might have been updated recently, too. Whether Calibre or plug-ins or the particular Kindle KFX-ZIP file format.
You'll need a 64-bit version of all the apps and all the plug-ins for Catalina and Big Sur, if those have not already been acquired.
In general, Kindle and Calibre questions aren’t all that common around here. Probably better to look for old-Kindle-related book options with a more Kindle-focused community, assuming Amazon doesn’t have an option or tooling already available for newer books on older Kindles. An option other than “replace it”, that is.
Calibre has various discussions of Kindle-related format conversions around the ‘net and and as you’re well aware, and the folks over there may or will know more about whatever problem or limit you’re encountering here with your format-conversion effort.
The involvement of DRM wouldn’t surprise.