The covers never show in the " file" section of your hd. You first have to open it in the "books" section of your library to access the cover. Do a search in your library-books, then open it. The cover will then show on your carousel, in books, and on your shelf. If it's a DRM'd book you may have to use Calibre to convert and sideload to get the cover to show. If that's the case, do a search on this site for Compulsive Reader's posts on getting covers to show via Calibre.
Re: covers on sideloaded books, you will need to use calibre and play with it to get the cover to show. (see tags on right, look for calibre, compulsivereader has outlined it somewhere.)
The rest of your post just has me really curious. How did you sideload your book into the nook android app? I am surprised they are syncing at all. I wonder if you can install the nook app on your HD, and sideload the book, if it will sync as well.(Probably you cant install the nook app on hd, wouldnt be surprised if it wasnt enabled, a little redundant.)
I was really surprised that the books synched with no problem on the two Android tablets. I have been playing with the HD a little more and the cover did actually show up in my library after I opened the book the first time, but no luck on the bookmarks. Another thing I just noticed on the HD is that now I have two copies of the book showing up in my library, one works and shows the cover, the other is just a phantom file that will not open, has no bookcover, and wont let me delete it. I deleted the original file and the phantom file is still showing up in my library. This HD is not as user friendly as my Nook color or the Android tablets are.