The problem is actually well-known and results from a bug in the KF8 portion of the firmware. It is not capable of properly extracting thumbnails from the book files. The reason why you see some of the covers is because some mobis, even though they may contain a KF8 portion, download as oldschool mobis. You will find that there is a correlation between you being able to use some of the later additions to the feature set like hyphenation and font bolding and missing covers. Those books whose covers are missing will be more feature rich
There is of course the second possibility that your downloads haven't been properly processed. This can more reliably be resolved by doing a factory reset of the device and extra care (only a few books at a time) when downloading again.