Bargee: I'd guess you're probably thinking along the right lines. I'd imagine Amazon would expect the Kindle to be used primarily to download directly - so if you haven't connected it, online options are probably not available.
The fonts thing - I don't know the Kindle well - is almost certainly a 'context sensitive' option, as you've found: it's only possible in certain circumstances. (The thinking probably is: why would you want to change a font unless you're actually reading a book?)
I've heard - I have no personal experience - that Amazon's Kindle support is very good, so it's probably worth your while calling them to get definitive answers.