I don't know the technical schiz of how it works but yes, that 4k Firestick is what I have. It doesn't remove Alexa or alter anything else that comes pre-loaded. All you are doing is "side-loading" Kodi and Cinema HD onto it so they are an addition. When you plug the Firestick into your tv and turn it on you'll get an interface like this:
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Those smaller boxes along the middle are apps that I've downloaded (see the Troypoint tutorial above). It takes about 20 minutes to load everything you're likely to need but the instructions are very simple to follow and you only have to do it once.
If you type "VPN" into the search function and you'll get a list of apps like this:
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Just choose one from the list, I use IP Vanish, and you can download it directly from there. It just takes a few seconds.
As far as what you can watch on it, pretty much anything that's ever been filmed from brand new stuff currently in cinemas to old movies and shows. Everything's on there and most of it in HD.