I did an experiment by deleting all non-content files under "My Kindle Content". Therefore there were just AZW files left on my disc (I haven't got any TPZ books yet). I then launched Kindle for PC and every downloaded book worked all right. Thus I came to a conclusion. It’s OK to read Amazon Kindle books without those auxiliary files, such as APNX.
Apparently, related Kindle PHL, MBP, APNX and LPR exert their own functions when it comes to highlights, annotations, bookmarks, and the like. I opened a Kindle book to turn to Page 20 and at the same time, there was a MPB file generated under "My Kindle Content" folder. I then added some highlights and bookmarks in the book, however, there was no more file generated. I was curious about the other files and then searched for it on the internet. I got following things from mobileread and Amazon community.
PHL: Kindle Popular Highlights File
MBP: marks, bookmarks, position (last location read)
APNX: Associated (Amazon) page number xref (a map of page numbers)
LPR: Kindle position information
TAN: the same things as the MBP does for AZW files, but comes along with TPZ files.
Thus if you just need to convert your Kindle books to PDF or EPUB or transfer your books to another place, those PHL, MBP, APNX and LPR files can be deleted. It doesn’t matter.