Two things:
First, have you clicked on the cover once in the reader library? Covers aren't actually loaded until the first time they are clicked on.
Second, have you ever had a book with the same filename in the library that *did not* have a cover (i.e. did you ever read that book before you put a cover on it)? Mobipocket Reader has a broken image caching system relying on the .mbp file pointing to a local cache, and the .mbp (and maybe also the cache files) may have to be deleted.
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