Well, in the normal course of events, an author-publisher uploads the cover image at Step 4 in the publishing process. That will show as a thumbnail on the Bookshelf page for that book. When he then uploads the book file, the conversion process degrades (slims down) the product image and incorporates it as a cover image within the book file.
If you are creating a *.mobi file for your personal use and not for publication, then I suppose that Calibre (or other software if there is another software) provides an opportunity for you to include the cover.
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