OK, I did the same book three different ways and here's what I get...
The source is an ePub I just purchased yesterday.
1) Convert from ePub to Mobi in Calibre with no special settings.
Result: Mobi book that shows a placeholder cover, no personal tag
2) Convert using KindlePreviewer
Result: Mobi/KF8 combo that shows the books cover, tagged as personal
3) Convert ePub to Mobi in Calibre with sharing option I mentioned above turned on
Result: Mobi file that shows the books cover, tagged as personal