I use Calibre to store and manage my library, and then serve it to KOReader clients on four devices. There are two ways to serve books from Calibre to KOReader but I prefer the "content server" approach where Calibre runs a server that I can browse from within KOReader. (The other approach, "wireless device connection," lets KOReader show up as a device you can drag-and-drop books to from within Calibre, but comes with limitations.)

When I start a new book I manually download it to each device and let KOReader's progress sync plugin store my reading progress across devices. Highlights and bookmarks don't sync between devices, but there's cross-platform desktop software called KoHighlights that I use to merge my highlights when I'm done reading a book, then I keep the merged version on my desktop KOReader library and delete the book from my other three devices. Other options for long-term storage would be using KOHighlights to export the merged highlights to plain text, HTML, CSV or Markdown, or using KOReader's built-in functionality to export notes to a Joplin notebook (or a number of other formats). I know there's also a way to send the highlights back to Calibre, and I did get this working at some point, but I remember it either being hassle or not working well.

KOReader also has a way of saving highlights directly into PDFs (and only PDF files, I believe), and I think this is the default, but it's something I've disabled.