Kindle regularly removes sideloaded books if it decides you didn't purchase them from Amazon. Allegedly it's due to an incompatibility between the Kindle DRM and the way Calibre tricks the Kindle into displaying book covers for sideloaded files, but it's still annoying. The solution is to leave the device in airplane mode.
It also strips off all the covers from your sideloaded books if you give it Internet access. Mine's had the radio off since I got it, for this reason.