I also recently replaced an aging nook with a PW2 and use calibre to manage my ebooks and send them to the kindle, and all of this just works.
First, as pdurrant said, convert epubs to azw3 for the PW2. Thumbnail covers, for me at least, always just work for all these books.
To handle page numbers takes some configuration. You should set up a custom column in calibre with the # of pages in each book. I set this up ages ago with the "Count Pages" plugin, so that the plugin generates the ADE page count for my epubs (which the nook uses) in that column.
Then, configure the the kindle driver plugin with this page count column for the "Custom column name to retrieve page counts from". The easiest way to do this, is to first plugin the kindle USB cable with calibre running. Then press the calibre device library button->configure this device option.
Once this is all set up, the kindle driver does whatever magic it needs to get the kindle to recognize pages in the azw3 books when you use calibre to send them to the kindle.
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