For me, although this option is still there on Amazon's webpages, it doesn't actually work. I get a popup saying "You do not have any compatible devices registered for this content. Buy a Kindle or get the free Kindle reading app." (I already have the Kindle app on my phone.)

The files containing the book content appear to be on the phone (an Android device) and I can transfer them off it. Perhaps these are the same things that I would get on my computer if I were able to do "download and transfer"? So far as I can tell, however, there is no way to do anything with them. At least, if Calibre + the DeDRM plugin + the KFX input plugin are able to interpret them, then I have failed to find how to do so using Calibre's famously clear and intuitive user interface.

(This sort of thing is why I only "buy"[1] Kindle books when they are much, much cheaper than actual physical books.)

[1] To buy something is to give money to its owner, after which you become its owner. Whatever it is you do when you get access to a Kindle e-book, it isn't buying it; you own nothing more after handing over the money than you did before.