@pufff: See the numerous threads about this very thing (this one
asking nearly the same question, for example).
* Stuff converted with the 'Enable sharing' output setting will show a cover thumbnail (albeit possibly a bit smaller, and possibly a PDOC banner) when downloaded via the on-device browser.
* Other than that, making sure the ASIN in the metadata matches the proper Kindle release, which can be pretty time consuming (and annoying as hell), depending on how your books where imported in Calibre.
(Before the pitchforks come out: this is a specific answer to the OP's workflow. The easiest way to get proper cover thumbnails is to simply use Calibre's Send To Device with your preferred output settings [AZW3, PW output profile, No 'enable sharing']).