There's a FAQ entry about it in Calibre's FAQ and/or Forum, IIRC.
It's been a while, but, basically, you're probably screwed when going via Send To Kindle.
You'll notice that this doesn't happen if you send your books over USB via Calibre's "Send To Device".
Whether there's a way to have your cake and eat it, too (i.e., thumbnails & sync), I don't know, because I've lost track of this mess in recent years, and the sync aspect of it was never my goal
.
If there is, though, I'm sure someone will helpfully point it out
.