This is because calibre cannot add the thumbnails to a Kindle tablet app.
The covers MUST be downloaded from Amazon's servers -- and match the book's metadata exth 113 field containing the ASIN, which is not a problem unless you converted the book.
I have found with my Kindle Touch that it does not always download the cover if the book is already on the device. Why do I know this,
if I advocate letting calibre handle everything?
Because at one point I had a specific reason for messing with the files themselves.
Naughty me.
It is possible if you leave it syncing long enough, the Kindle may catch on that it is missing a cover. I'd just sync first anyway, it can't hurt.