I imagine you are having the same issue as my SE W950i

My device only shows album art for certain songs. Upon further inspection, I
noticed it was only for songs that came wtih my computer, despite most of the
rest of the songs in my library having album art.

I investigated this, and found that this is because the album art was
embedded in the file. If you open up the file with Advanced tag editor, there
is a picture tab. This tab had a picture for the files which showed album art
in my device, and not for the other files even though their album art showed
up in WMP.

Now what someone needs to help us with is finding someway to automatically
embed the album art for the songs that already show the album art in WMP,
because doing it for each song manually would be a gargantuan task.