Adding a cover into Calibre does NOT (at that point anyway) embed it into the ebook file. At that point it is simply stored in the Calibre library structure.
It is embeded into the ebook file if you run a conversion.
It is also often added when you use Calibre to send a book to a device/folder/iTunes - but that relies on Calibre being able to find an existing cover that it can replacem and can be file-type dependant. As a general rule it MAY work for epub files (depending how they were created) and is less likely to work for pdf files.
You did not mmention how you are transfering the books to the device. If you are doing it outside calibre then the only way to get it embedded is to run the conversion.
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