Any input file that after going through Amazon's PDOC conversion system ends up as a azw3 file (and this will be the new default behavior) will have that problem. Epub as a starting format has zero effect in that whole scenario, only makes it more ironic because unlike stuff like doc, docx, rtf, txt
... epub actually contains a cover image marked in a way that conversion system should be able to use.
It is the Kindle firmware that is programmed in that way to intentionally not generate thumbnail by extracting existing cover image inside the book / inside the azw3 file.
And Amazon has gone an extra step years ago when they've made a change to stop the firmware from using even user-sideload thumbnail files for azw3 books that are tagged as PDOC.
In the past & on older firmware you could use this script go have both read position & notes sync between Kindle devices AND better book formating (by using azw3 instead of mobi) AND have cover thumbnails.
Code:
https://github.com/quiris11/ExtractCoverThumbs/
And even if post-download you would change that flag from PDOC to EBOK (in order to have cover thumbnail) that would break the sync functionality.
Stimpy put: azw3 with PDOC flag = no thumbnails, no workarounds.
That is one of the ways in which Amazon "subtly" tries to make people buy books from Kindle Store.