If the Arc is anything like the Kobo e-ink devices, it is using the first page of the book as the cover. Open the book in the calibre viewer and see what it has. If that doesn't have a cover, you need to do an epup->epub conversion to add it to the book. The Modify ePub plugin might work as well. It will replace covers, but I can never remember if it adds covers to ePubs as well.
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