The last time I looked into it, you had to have a valid target device or client registered to your account, typically a kindle reader. Then an option to download for transfer with usb would show kn the menu for entries in your library. It will download a kindle format ebook (there are multiple generations and even a new format) that is compatible with that device that and is also DRMd using that devices serial as a key.

So no, I wouldn't say you missed anything obvious, which is a feature not a bug as far as Amazon is concerned.