I think there are 3 pages of settings on mine? use the normal page turn buttons to change pages. Also on some of the items on the settings menu, you can press the 'menu' button again to get even more settings. Its a bit odd.
I believe Amazon's idea is that format conversion is done through their service which is a good way of monitoring everything.
I could be wrong though. Calibre works very well in conjunction with me Sony PRS-505 so if I but another reader it will need Calibre support.
Calibre works with the Kindle too, because the Kindle acts just like a hard disk when connected to a pc/mac.
I don't use calibre much though as I've found the conversions to be hit and miss. I mostly use the kindle for reading novels, so I typically buy straight from amazon. When it comes to technical books/manuals I still prefer a physical book.