Your member's avatars in Cove are powered by Gravatar, just like they are in your Ghost admin site.
If a user has added an image to their email address using Gravatar, it will show up in your Ghost admin, your Cove admin and in your Cove-powered comments.
If they haven't set up a Gravatar, their avatar will be a default grey user icon.
If you comment on posts on your blog, I suggest you add a Gravatar avatar for your email address.