Jimy,
this is because iTunes does not embed the image into the actual ID3 Tag, what it does is associate each file with a picture file on your computer. Sometimes you move around the library and your xml library file will get messed up. What I do is use a software that embeds it. This way your files will have the albumart not only in iTunes but everywhere you move them. I used to do this manually but if you have a large library it can become a pain in the ass..I suggest using TuneUp. You have to buy it, but the benefits are awesome. Plus, if you decide you like it, I can give you 15% discount when purchasing hehe, it is not expensive and honestly it is the best piece of software ive bought in a long time..
cheers