The problem is that the Iliad isn't smart enough to create the book cover images itself. You can have cover images for any format, but they will have to be created on your computer before the file is transferred to the iliad.
In addition to the guides above, I have a Linux/Mac program which will do this automatically for PDF files, and I'm planning to extend this to other formats in the comming week or so. (Sorry, no Windows version planned. I don't own a Windows machine, so I have no way to test it, and am not too motivated to do so.) See this thread for details:
https://www.mobileread.com/forums/showthread.php?t=23319