When you used that "send to Kindle" app from your PC, presumably it's the one that's acccessed from Windows Explorer, did it also send the cover information?
I used the email function from Outlook to send a book to the cloud. I found a book, but I renamed it before sending it. The cover wasn't sent with the book. I'm not sure how all that works.
I ended up using Calibre as it seems to work better insofar as cover information goes. Plus, I can scan the database to see which books I want to send to device, particularly if they are in a series and I don't know which ones come first.