The amazon kindle store is brilliant but for the times that you can’t find a specific book available on the amazon store, you can purchase an epub ebook with adobe drm from another online store such as kobo/WHSmiths or waterstones. Then it’s just a simple case of using the dedrm tool available for windows or mac here, then importing the drm free epub into calibre, convert into a .mobi file and send to the kindle. This also works for removing DRM from purchases from the kindle store but I haven’t really tried this myself.
Why the kindle doesn’t natively support drm free epub is a bit unusual but I assume it’s an attempt to try and lock you into using the amazon kindle store as oppose to other ebook stores.