When you set the cover in the metadata in Calibre, it does not put it in the actual file. To do this, once you have set the cover in the metadata, then "Convert" the epub: from epub to epub. This puts the cover into the file itself and it should show up in the thumbnails, and thus the sleep mode.
BTW, you can change the sleep mode picture to a separate jpeg, if you want. I have a picture of my husband and I.
I figured that way if the T1 is lost and found, I could prove it was mine.
AJ