I've noticed the same things with my Overdrive library download - and then side loaded via ADE -
They show up in ADE, but nothing over on the Nook Color.
Guessing it's just another design flaw in the handling of books from ADE onto the Nook Color, since the PC has a "thumbnails" folder with the associated images under the PC's My Digital Editions.
Some Nook entries have a thumbnail listed in the /media/digital editions/thumbnails/
and some don't -
But doesn't matter, as NONE of them are displayed anywhere.....
Home Page (bottom)
My Shelves (bottom custom)