Also have a look at this My personal library topic posted by @Konstantin in the showcase section. I think something like that is what you’re aiming to do.
I agree, it would be great if it were a set-wide option (use book cover as icon) at the creation of the set. The idea currently with the icon is that it’s a customization / personal touch, and some folks will opt for traditional looking icons for their (text)books, etc.
I have something similar for my books and the way I found to show the book covers on a Set was by using the relation “Attachments”. It can be a bit complicated if you copy and paste a book cover because it might have a random name.