I did a format conversion with Calibre, to convert a Kindle AZW into another format. When I did, all of the figures/illustrations/graphics were missing or blank.
It turns out that when a book gets downloaded to a physical Kindle, special things happen to the graphics. They may not be available in converted output, or they may be reduced to monochrome.
To avoid the issue, convert a freshly-downloaded copy of the book, instead of the book currently on the Kindle. Go to the Manage My Kindle page at https://www.amazon.com/mn/dcw/myx.html and choose “Download & transfer via USB” in the Action column. Download the .azw. Convert this file to your desired format.
Of course conversion only works for non-copy protected books.