This does not only affect KFX format. The same thing is happening for AZW3 files. There is a thread on Reddit about it:
All my book covers just disappeared?!
When a new book is found in storage that is marked as an Amazon-sourced book (EBOK) the Kindle software initiates the download of the cover thumbnail for that book based on its ASIN. It does this whether or not a thumbnail for that book is already present. In the past the request for the thumbnail image would fail because the ASIN is not a valid one at Amazon.
It appears that Amazon's servers have just been changed to return a 60x40 pixel image containing the text "No image available" instead of nothing. This overwrites whatever image thumbnail was set by calibre. And because it is smaller than the smallest allowed cover image size a generic cover thumbnail is instead shown for that book on the Kindle.
Marking the book as a personal document (PDOC) instead of an Amazon ebook (EBOK) won't work since Kindle firmware version 5.8.5 (Nov 2016) or later ignores thumbnail images for personal documents.
As far as I can tell the only fix would be to connect the Kindle again and resend the thumbnail after it has been overwritten by Amazon.