- Did you use calibre's Send-to-Device, or did you copy via the File Browser? You should be using Send-to-Device.
- There is no such thing as AZW, although that is commonly used when people really mean MOBI. Are you sideloading MOBI files, or AZW3? When converting from EPUB, it is preferable to convert to the newer and improved AZW3 rather than the legacy MOBI format.
- Does the book show up on the Kindle as a Personal Document rather than a regular book?
When using Send-to-Device calibre will sideload the thumbnail together with the book, in addition to embedding the current calibre metadata (including cover images) inside the sideloaded AZW3.