Except for the oldest Kindles, sending an EPUB via email results in a personal document (CDEContentType=PDOC) in KF8 (azw3) format. Kindle firmware
since version 5.8.5 is coded to prevent showing a real cover thumbnail image in that case.
If you change metadata in the file on your Kindle so that it is no longer marked as being a personal document you can get a sideloaded cover thumbnail to display. However you will then lose the syncing of reading position and annotations since that metadata is what links to book to your Amazon account.
It is theoretically possible to change the firmware in a jailbroken Kindle to solve this problem, but it would take a lot of work to make that happen.