You should manually add matching ASIN id from Amazon page for the book you're converting into "ids" metadata input box in Calibre's Edit Metadata window (as "amazon: Bxxxxxxxxx"), before converting the book to KFX format.
If that information exists the plugin will use it when it creates kfx file
and later Kindle will download the correct cover thumbnail from Amazon's servers based on the ASIN id it contains ... just like if it were a retail book (you're faking that your converted and sideloaded book is retail, from Kindle Store).
Take a look at "Showing Cover Thumbnail Images on E-Ink Kindle Devices" spoiler for more details:
https://www.mobileread.com/forums/sh...d.php?t=272407