Kindle books purchased or borrowed from Amazon support rich formatting, library thumbnail images, lock screen cover images, and syncing of position/annotations across devices. All of the various methods of adding your own book will result in one or more of these features being missing.
If rich formatting and cover thumbnails are important but syncing is not you can get those by having calibre transfer the book to your device via USB in AZW3 format (aka KF8).
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