They are hidden, just like the books from B&N. Stop searching for them; you won't find them on your Nook. I imagine one reason for hiding them is to prevent copying them and giving the copies to other people. Of course, you can get copies of B&N books via Nook for PC or Nook Study for PC or Nook for Android, but they won't be readable unless the reader has access to your credit card and password. I don't know about getting copies of Kindle books.
If you cannot find a folder under the My Files area, then it may be "hidden" as metadata within the app.
The best way to test this is to first check the Application storage under settings:
Settings -> All Settings -> Applications -> My Apps -> Kindle
Check the memory value under Data.
Then download another Kindle book, recheck and see if those numbers change.
I order Kindle books on the Nook HD using the Kindle App. The books are automatically stored and can be read when you open the app. You can delete the book after you read them, but they are still available because Amazon does not permanently delete them.