Every kindle that supports the new format (Kindle devices since 2013 with latest OS upgraded) support loading non-DRM ePubs directly over USB. There's no conversion anymore. (I've done this.)

Amazon's not going to openly advertise that this deprecation is also the line in the sand where "non-DRM ePub just works", but that's what has happened.

Of course one of the sadder problems with the ePub ecosystem is that it uses the same file extension for DRM contained and non-DRM contained ePubs. At a glance it isn't easy to tell if an ePub is not DRMed. Amazon does not support any of the existing ePub DRM schemes. Their own KFX DRM is very unique and proprietary and doesn't play nice with ePub DRM "standards". You can't load DRMed ePubs over USB, those don't work. Sometimes that gives an impression still that "Amazon does not support ePubs natively", but that's the nature of DRM and how much DRM hurts the entire ebook industry in every direction.

Are you sure about that? Even Amazon's own sales page state: "Kindle Format 8 (AZW3), Kindle (AZW), TXT, PDF, unprotected MOBI, PRC natively; PDF, DOCX, DOC, HTML, EPUB, TXT, RTF, JPEG, GIF, PNG, BMP through conversion; Audible audio format (AAX). Learn more about supported file types for personal documents." implying that ePub only works through conversion. They don't support DRMed ePubs through conversion either so it's a bit odd they say that instead of including it natively.

As I said, anecdotally I've already done it. Amazon only just enabled the PC "Send to Kindle" to support ePub directly instead of the old silly work around of rename the .epub to .kfx (and no other change). They've been very bad at keeping their list of formats up to date in their own documentation. Some of that perhaps because they don't want it to be so obvious and it is intentional obfuscation (to keep people using their store rather than going elsewhere for books), some of that because a lot of their kindle documentation seems to be in a "isn't broke, don't fix it" frozen state for years at time. You'll also note that the text you found doesn't mention "Kindle Format 10 (KFX)" at all and also you might notice that TXT and PDF are mentioned on both sides of that text as both "natively" and "through conversion" which seems to imply the original text was from the era when they were converted and they were added to the "natively" side later without remembering to clean up the other side. (They both have native support today.)

I was curious and just tested this with directly putting an ePub on my Kindle and it did not work.

I also tried renaming the ePub to a .kfx and it still did not work.

I have also been unable to make this work. I don't know what WorldMaker is doing differently.

Having Calibre auto-convert it and not realize I guess.

TXT and PDF are on both sides because Amazon will convert them to the appropriate Amazon format if you use send to kindle. TXT has always been natively supported on Kindle. As fair as Amazon is concerned, KFX is an internal format only for their use so there's no need to list it. When Amazon added ePub conversion officially KFX had already existed for over half a decade.

Your anecdote also seems to be the only instance of it working natively. Keep in mind Calibre will autoconvert for you.