I'm having the same issue here, but it is even more odd than it would first appear.
I am finding on all four of my Macs that artwork in my library (about 4000 songs) of CD-ripped and purchased music that artwork is randomly missing.
Odd, different artwork is missing on each machine, which has the same library.
Prior to Catalina, this was all working fine for years. I did not notice it originally when I upgraded in the fall, but have been noticing over time more and more tracks appearing without artwork. It seems like it gets worse as times goes on.
Even more strangely, some of them show the artwork still associated with the file and/or play the thumbnail in iTunes (oops, Music!) when I play on the Mac. The same tracks will not show the artwork on an iPod, Sonos or iPad/iPhone synced with or drawing from the Mac.
A call to Apple resulted in the old "we are aware of the problem."
It sure seems like it is an indexing problem between the music file and the artwork.