I successfully created a zblorb file via Inform 7, and it will not display the cover pic on the current WinFrotz terp. I must be doing something wrong.
Are you actually using WinFrotz, the terp that hasn’t been updated since the '90s? I wouldn’t expect that to even recognize a zblorb. Or are you using a version of Windows Frotz?
In Windows Frotz., with the game loaded, what does the Help / About This Game menu item show? Windows Frotz only shows the cover picture dialog when the game is loaded for the first time by default, which can be controlled from the options dialog.