I've had a similar problem with my Kindle Paperwhite. So far the only solution I've been able to find is the following:
1) Add the books on to the Kindle and allow the covers to disappear.
2) Plug the Kindle back into the PC
3) Navigate to the folders on the Kindle in Windows Explorer
4) Delete the "amazon-cover-bug" folder (which appears every time I add new books to my Kindle)
5) Disconnect the Kindle from the PC.
I wish there was a more striaghtforward solution. It's got something to do with the Kindle attempting to find the book cover online (hence why it happens when connected to Wi-Fi).