Works as intended
You can't get series grouping for books that are not bought (by the same Amazon account Kindle is registered to) from Kindle Store.
Amazon keeps a catalog of things you bought from them end only for those is populates the necessary information needed for grouping feature to work. Just faking book's ASIN id will not help you there since your account doesn't have a record of owning a book with that ASIN.
cc.db has a table with series info. Where even the series have their own ASIN identifiers.
So in short, without a jailbreaked Kindle you certainly can't have that series grouping for "sideloaded" and "converted" books.
And even if you had jailbreaked someone would still need to write a plugin / addon / script that would use SQL queries to fill the necessary information in expected format and places in order to achieve that end goal.
And since nobody done that no one knows if Kindle firmware would or wouldn't periodically overwrite or remove that information from the cc.db database.