What are you using to run Calibre? If it is a PC you might want to try the
calibre2web script - it allows you to use the Stanza Online Catalog facility rather than a simple web page and it definitely displays the cover art and tag information in Stanza.
I certainly get the cover art and tags (Subjects) appearing in Stanza. Whether that information is taken from the catalog entries I use to download or from the epub file itself I am not sure.