that's normal. it also happens with .mobi files etc. - even if you have added them in calibre. Kindles can't read / show the cover image you see in calibre. if i remember right, Kindles only show that cover for books buyed from the amazon kindle store (based on the isbn?).
Example: i have a file that i buyed from the kindle store, and if i sideload this file.. it shows the cover. but if i sideload another book, it doesn't.
i don't think there is a (easy?) way of changing that behaviour.
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