Horse for courses. Amazon gets a lot of traffic, so having your ebooks on there is a good idea. But that has nothing to do with "converting", ie turning leads into sales.

I wouldn't send my own traffic to Amazon, for several reasons - they take 35% commission, they advertise competing products alongside your listing, they more or less force you to sell for less than $10 (otherwise commissions go up to 70%), they don't tell you who your customers are.

I send my own traffic to Leanpub, which has none of the above problems. Gumroad would also work, but Leanpub is specifically a book shop so it tends to offer a better customer experience. But I also list my books on Amazon, of course, it would be silly not to.