You can always open the epub in an editing program like Sigil and edit the stylesheet to put in the paragraph indents. I do that all the time, along with adding in blank space between paragraphs. Then you can use Calibre to convert the file to mobi.
There may be a way to do the CSS editing directly in Calibre but since I mainly use it as an organizing tool I'm not familiar with all the bells and whistles that the plug-ins can add to the functionality.