I did extensive testing of this mystery with epubs on my PB360. I eventually found an answer which has had a 100% success rate so far on a PB360 running firmware v15.2.
I found that if I examined the <manifest> section in the .opf file inside the epub, the epubs which didn't work invariably had the cover image item a long way down the manifest list (around 50 or more). It's almost as if the PB stopped looking for a cover part-way through the manifest. If I moved the cover image item to the top of the manifest list the problem was fixed.
However, if you've already sent the epub to the reader, it is not enough to just resend the epub, to overwrite the original, because the PB "remembers" the old thumbnail (or lack thereof). You first need to delete the book from the PB before connecting to the PC, so that the PB deletes the old thumbnail. If you then reconnect and resend the epub the thumbnail is extracted correctly.
I didn't find that the name of the cover image mattered at all, just its position in the manifest
Of course, PB firmware being as 'quirky' as it is, may mean that each different version has its own solution to this problem
