Have things changed recently? Sideloading books has always been well supported in every kindle I’ve owned, though admittedly my current model is 3 or 4 years old.
Sideloading is still supported. But Amazon removed the ability to download your legally purchased (rented) from the Amazon website - the download and transfer via USB option [0]. So if you previously downloaded those books, you can still manually copy them onto the Kindle.