That is to be expected. Kobo sets the series info for books downloaded directly to the device through their API. It is not in the book.
When you download a book and add it to calibre, calibre reads the metadata from the book. It is unlikely that this contains any series information. For epub2, the metadata standard does not include series info. For epub3, there is a standard, but, I do not remember seeing a book with this in the metadata. And the books downloaded from your Kobo library contain the metadata set in the books by the publisher. This does not necessarily match what Kobo shows in the store or sends to the device.
When I add a book to calibre, I always use the "Download metadata" function in the metadata editor and then fix what I don't like.
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