Basically everything the others have said is correct.
The covers images are generated from the first page of the book. That means if that page is displayed with borders around the actual cover, the image will have borders.
Calibre can send the covers to the device, but, only for the main memory (and you appear to be using this option). The reason for this is that the firmware didn't save the generated cover image for books on the SD card and generated them each time they were needed. This changed in FW2.5.0 and the driver was updated last week. Unfortunately last week was only the second week since I have been using calibre that there wasn't a release. There should be one this week. Which should also support the Aura HD.
When calibre is sending the covers, it sends the cover image from the library. This might not be the cover in the book. And there are three options. "Black and white" is obvious (I hope). The "keep aspect ratio" means that when the cover is resized for the device, the aspect ratio is respected. The device also respects this aspect ratio. If just the send option is used, the cover is resized to the sizes the device uses. This means they could be stretched in one direction.
There is a problem with FW2.5.0. For some reason, the quality of the covers for the SD card is a lot lower than for the main memory.
As jackie_w said, the power off/sleep banner can only be changed by the options in the settings.
And I don't know of a way to have the SD card ignored when it is in the device. While I have one in my devices, I don't have many books in them. It is mainly there for testing. Actually, thinking about it, if you enable telnet access, you could probably unmount the card from there. And maybe the plugin or launcher could issue the commands. Have a look in the developer sub-forum for these. I don't use them, so I'm not sure.