@kovidgoyal: Okay, good news: the weird "let's delete the thumbnail" issue I encountered yesterday indeed seems to be a weird caching issue (I was swapping existing books by deleting them from calibre, and reupping the same books in the same session).
If I delete them from the Kindle UI, everything's peachy. (I imagine it would also work correctly If I had deleted them from calibre, unplugged, let the Kindle refresh it's thing, plug, reup).
And it of course works correctly when upping *new* books

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So, it doesn't hurt, the issue I had yesterday was unrelated

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And you were right, the placement has nothing to do with it (and it is indeed quite a mess depending on the KG version, it's even messier with AZW3 files from Amazon, where we usually end up finding an UINT32_MAX in exth 125 or 131, the thumbnails uri sometimes != thumboffset, and we have another copy of the ASIN in exth 504...). Anyyyway...
Good news N°2: It works! If I send a book from Calibre with the no_sync option (so it doesn't get an ASIN), the Kindle properly build its custom thumbnail with the dropshadow, like with KindleGen files. (The file ends up in system/thumbnails like the rest, but with a slightly different name format: thumbnail_XXXXXX.jpg for calibre files, where X is an alphanumeric character, and thumbnail_NNNN.jpg for KG files, where N is a digit).
On the other hand, when there's an ASIN set, we still need Calibre's thumbnail, and that's the one that's used. (If I sideload a calibre built KF8 with an ASIN *outside* of Calibre, it ends up doing the exact same thing as when we sideload an AZW3 straight from Amazon (outside of calibre, still): No thumbnail until/unless Wireless is on, in which case it seems to be downloaded one way or another by the OS... And horribly fails if that's not a proper Amazon ASIN.