No, covers are analyzed when you open the book.
By default, there is a splash picture, but that may have ended up disappearing... in which case, IIRC it should show the last stuff, or else blank -- I'm not sure which.
If you are now in cover mode, you need to open a book, and the cover will be extracted and added to a cache. If you put your Kindle to sleep too soon, it may not successfully extract the cover in time. Best to leave it to fall asleep on its own to test it out. After the cover gets cached, you can usually just open a book, wait a few seconds then hit the power button and it will have the cover showing.
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