When the Kindle sees a book with an ASIN, it attempts to download the cover thumbnail from Amazon's servers. Usually, we are upset about that because there is no cover.

And it will ONLY derive the thumbnail from the book's metadata if the book is a PDOC. Rather stupid and irritating...
(Without an ASIN -- to be exact, the exth 113 meta field -- you end up with a PDOC, and that ugly banner. Many people embed a fake ASIN to avoid that.)
You will have to manually place your own cover thumbnail in the [userstore]/system/thumbnails/ folder -- calibre will do this automatically, if you use calibre to send the book to the device.
Once a thumbnail exists, the Kindle will not try to replace it.