Doesn't this occur because Kindle doesn't show thumbnails for Sideloaded books? I definitely remember this bring brought up over the past few years:
Thumbnails On Kindle Paperwhite
.mobi-Books don't show Cover-Thumbnail when sent to personal documents service
Book cover display problem
I think if you use Calibre to push the book onto your device, Calibre has a very specific way of adding it to the Kindle so it treats it as a "Book" instead of a "Personal Document". This should allow you to see the covers just as if you bought the MOBI/KF8 from Amazon.