It's possible to have what you want except you can't have the books in AZW3 (they must be in mobi format) and they will always show up as Personal Documents, with covers. This is what works for me:
-In Calibre I convert my epubs to mobi using default settings
-I then email or use Send to Kindle to send the mobi file to my Amazon account.
-If book cover doesn't arrive on my PW then I reconvert mobi to mobi delete the cover-less book from everywhere and resend the newly converted mobi.
Doing this I am able to sync furthest page read between kindle apps on my iphone, ipad and my kindle PW2
PS Some additional info here:
https://www.mobileread.com/forums/sho...7&postcount=37
Good luck.