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.