I would say exactly the opposite. I regret of buying a book from Amazon [0] dedicated to Kindle-use, because it is DRM protected and I am forced to use "Amazon Kindle" application, otherwise I cannot open it. I am usually okay with DRMs but I miss a fact I haven't bought it elsewhere with less annoying protection.
> I've actually found it quite challenging to purchase books to put on my Kindle that aren't from Amazon, since they use a proprietary format.
While MOBI began as one's company's proprietary solution, the format is well over a decade old now and quite well understood by the Free Software community. Calibre can convert EPUB (or anything else, really) to MOBI, so you can buy or pirate your ebooks from anywhere and easily put them on a Kindle.