Do convert to azw3 for your Paperwhite, not mobi.
The cover question I'll leave to others
The page numbers problem, IMO, is just the way things are - the page numbers on nook are fake anyway. It might be that there's some plugin for calibre that will create a fake .apnx file for transfer to your Kindle, which I think is how Amazon does its implementation of page numbers., perhaps someone else will jump in on that. But really, I suggest learning to love locations.
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