@unb3ar: Last I checked, PDF covers were a no-go. I don't read PDFs (especially not on the default reader), so I can't tell you much more than that, and I may very well be wrong
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The default reader doesn't handle anything else than AZW*/MOBI/PDF, so anything else is also a pipe dream.
On supported formats, the full crap that needs to be sideloaded for thumbnails to show up has been mentioned over and over, so I don't really feel like rehashing all this, check out the code of the Calibre Kindle driver if you're terribly curious. (spoiler: It has nothing to do with the sidecar folder, and everything to do with the thumbnails in the system folder, and doesn't involve touching the actual file at all. Spoiler bis: the Kindle framework is very finicky, playing with the metadata/sidecar stuff/thumbs of an already-catalogued file without deleting it first from the Kindle's UI will lead to frustratingly stupid behavior).