@bhewson - if the epub did not originally have a cover (or if the cover is not correctly "specified" by the internal manifest files in the epub) then saving to disk/sending to device cannot insert/replace a cover for you. Other metadata can be updated, but covers are special things that require a combination of an html page, an image and certain other bits of configuration data to identify it as such.
The solution as you have found is either to use the Modify ePub plugin and its "Insert/replace cover" option (preferred solution), or to do an EPUB->EPUB conversion (not recommended).
Once either of those two actions have been performed, then if in future you change the cover in calibre the epub sent to your device will include the latest image, without you having to repeat the plugin or conversion steps. However if you want to use the calibre viewer to see the copy of the epub inside your library also with a new cover, then you will need to repeat them again.
The easiest solution to ensure every epub has a cover is to just make it part of your workflow of adding books to calibre to run the plugin along with other steps of downloading metadata etc that many of us do.