The problem is that there is a longstanding bug in Amazon's Personal Documents Service.
Cover thumbnails for books that have a valid ASIN (which includes the special Personal Documents ASINs) will not try to extract cover thumbnails from inside the book. Only books that are both cdetype=PDOC and sideloaded will get their cover thumbnails extracted from the book.
calibre works around this problem when transferring via USB by copying over the thumbnail as well, when necessary.
Amazon's Personal Documents Service will respond with the cover thumbnail of books you emailed to your Kindle... but only for the MOBI format.
When sending dual-MOBI (KindleGen/Kindle Previewer always creates dual-MOBI, and calibre has an option to do so using the "both" mobi option), Amazon will send the AZW3 component to supported devices and use the MOBI component for legacy devices (K1/K2/DXG/non-updated-K3).
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Solution: decide which is more important, getting AZW3 (by sending dual-MOBI instead of old MOBI) or getting cover thumbnails.
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