Earlier quoted context omitted.
It deletes all side-loaded books when you connect it to the internet, happened to me as well.
That is strange. I have had a Kindle for years (probably around a decade), upgrading mutliple times. I am using a Paperwhite Signature for the past year or so and I have not experienced this with any books. I have probably 70% Amazon purchased books, but that still leaves a decent amount of side-loaded books (mostly epub). The only annoying thing I experience is that the cover art will unload on the side-loaded books…
*Edit to add: I believe the kindle won't delete epubs you sideload via the Amazon kindle email gateway, but I have no interest in doing that.