If a book is a Personal Document, the Kindle will try to extract the cover from the ebook file. This depends on a cover being properly set.
If the book is not a PDOC (that is to say, it has a fake ASIN, or exth 113 field, embedded) then the Kindle attempts to download the cover from Amazon's servers.
Since it depends on Amazon's records and no such book may exist, calibre will generate its own thumbnail from the calibre cover metadata (
not the ebook file) and sideload it. There are other tools that will do the same using the embedded cover.
Either way, the end goal of the Kindle is to generate that thumbnail.
The thumbnail for PDOCs is "thumbnail_<random_six_chars>.jpg" so you should probably just confirm that there is an embedded cover.
Apparently fw5.7.2 does away with the highly stupid "Personal" tag. But as far as I know, the above details haven't changed. (I don't own a PW, so I am dependent on hearing things posted here -- but I do try to keep track of other peoples' discoveries.)