To guarantee getting a cover actually added into the book you need to run a conversion on the book (even if it is something like mobi->mobi). Normally Calibre will try and insert the cover when it transfers the book to a device, but that can only be done if the cover is properly identified in the book. Running the conversion ensures that it will be (and anyway has also inserted the cover as part of the conversion process).
I believe the apnx files are generated by the kindle driver to try and support syncing if you have multiple Kindle devices/apps.
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