As jgaiser said, you probably need to do a epub->epub conversion to get the cover added to the file. Or use the "Modify ePub" plugin. Once you do this, you should delete the book from the device and resend. That way the device will reprocess the book and create the cover images.
Just so you know, the cover image used on the Kobo devices is the first page of the book. If you open the book in the calibre viewer and the first page is the cover you want, the device should be able to use this.
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