Not too sure how

TV chooses which episode in a series to take artwork from. From my own experience, it seems to be taken from the most recently imported or changed, but this might not be the case -- I haven't really experimented...
The artwork feature does seem a bit buggy, though. Here's how I get it to work...
Assign the artwork you want to each episode, even if it is the same picture (DVD cover, I presume). Use the
Get Info option in iTunes to delete any other artwork associated with that file (usually a screen capture that iTunes produces automatically when you import). Do that for each episode in the series.
After doing this, iTunes should display the correct artwork for each episode when you select it.
TV, however, will not register the changes -- you need to reset. Go to the main menu on your AppleTV and hold down
- (minus, or volume down)
and menu. Your Apple TV will turn off. After a few moments you will get a menu asking what you want to do. Choose restart. Wait for a while and you'll go through the intro movie and back to the main menu. Check your episodes and they should now display the correct art work.
Let me know if this works for you...
Steve.