Amazon has blocked on the Colorsoft (and only on the Colorsoft AFAIK) the folder that calibre uses to put covers for sideloaded books. Please have a look at
this thread, and in particular at
this post from Kovid Goyal (the developer of Calibre).
In a nutshell, you either have to use Amazon’s
Send To Kindle functionality to send your books via the cloud (in which case your books will be stored on Amazon’s servers), or change the book type to PDOC (personal document) in the conversion options of your book (the “MOBI output” or “KFX output” section in the Calibre conversion screen), but this comes with a loss of functionality, in particular WhisperSync.