Well, I am confused too. Looking at the code, if the following are all true then calibre will send a cover and CC will display it.
1) Calibre has "metadata management" set to "automatic". Turning on the wireless device driver does this, but it could be turned off. Check at preferences -> sending to device -> metadata management.
2) When CC is connected as a wireless device, the book shows up in the device view and has a check mark in the "in library" column.
3) There isn't a second book showing somewhere in the device column that is an almost-duplicate of the first and does not have the in-library check.
4) The book has a cover shown in edit metadata for that book.
One thing to try to be absolutely sure that the book in CC is the one in calibre. Put an unusual tag on one of the books, one that exists no where else. Connect your device and let it sync. Is that tag now in CC both in grouping and in the view metadata window for the book? And the book still has no cover? If so, it might help to see a calibre debug log for the connection. Instructions for making a debug log are in the CC FAQ answer
How do I get help?. To save yourself some trouble you might want to start the debug log before you connect the device just in case the tag appears, so you won't need to repeat the experiment.