It's early February, and Catalina 10.15.3 is out, and this album artwork thing has no official fix from Apple yet? I too am missing my album artwork for many albums. Anyways, I did a little research.
It seems that album "artwork" is stored way way off in a different directory than where the "Music" folder (and all your actual songs/tracks are actually stored).
To see where the album JPEG files are I had to track it down to:
Library / Containers / com.apple.AMPArtworkAgent / Data / Documents / artwork
To get to Library, this is the "hidden Library", you can see it from the Finder, you click Option + MenuBar "Go", drop down to Library, and then dig down from there, etc.
Once you navigate to the folder called "artwork", you see bazillions of JPG image files, those are our missing artwork. The problem is.... we know the images are there! But MacOS Catalina is too stupid to have the Music app recognize the location of this folder?
This is a root of the problem. I have located in detail where the artwork images (they are JPEG files) are physically located in the Mac hard drive. If we can get Apple to realize and fix this, then maybe a future Catalina update/patch will correctly point to the proper "artwork folder" without most of us having to manually fix things.