Hmm, strange. I use the method to include the cover in the MP3-File it self with with an application called MP3tag.
A few days I added 10 albums and some albums have thumbnail in the Albums-meny and some dont for no particula reason. The are all .jpg, ~100kb and from 500x500 to 700x700.
There havnt been any problem with this before since a few updates ago.