How did you add the book to the device? It doesn't read series info from sideloaded book. If you sideload with calibre, that can set the series info, but, you need to connect the device again. Calibre can only set series info for books already on the device. The process is to send the book to the device, disconnect it and let the books be imported, and then connect again to set the series info and other metadata if needed.
There are two other ways to set the series info. Both are discussed in threads here.
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