I'd really like to know too.
I don't know if it's a Tvheadend issue or a Kodi one.
I'm using Tvheadend 4.2
There are <icon> urls for each programme in the xmltv and it seems Tvheadend cache them.
In the web interface EPG, those images show up in the info pop-up of each programme.
But then what, not sure what to check.