Ok, As Apple progresses from iTunes to Music, they started messing up Music altogether. For somehow they think they have done a great job but Apple has put a reverse gear in dealing with Music app. In my opinion, Music app is still half baked.
Don't fix it if it ain't broke appears to be true in this case.
Apple loves you buying music from them. But I reject the idea as I maintain huge DSD and other lossless formats of my personally ripped vinyl albums up to 24-192. Subsequently, maintain my own Album Artwork for all my albums, minimum of 1000 x 1000 pixels, no limit on max, if I find it 3000 x 3000 file I will add that to artwork even if it increases the overall file size of the song.
Anyways, here's the fix...
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If for some reason, Artist image doesn't load up for me, I end up buying something from iTunes Store for the same artist. And the moment it finishes downloading that track/video for you, your Artist image will appear immediately.
I am not sure if this would work in your scenario but you can certainly try and it does work for me all the time, and I tried it many many times. Music app will only connects to its database server once you restart your computer or logout log back in. So if I am unsuccessful in downloading any artist image, I just end up spending a dollar for artist image. Most of time I buy music videos from iTunes as often they are better quality than what you find on Youtube. So no big loss.
Another issue in Catalina is that if you reinstall your macOS, I often do that due to one issue or another and I prefer clean install rather than fixing. So after you reinstall Catalina and you happily copy your music library back to folder, so you are ready to rock but you are rather shocked! - your Artists and Albums images disappear. It's all over the internet. The only quick and reliable fix is that you drag and drop all your albums into new library, and then restarting of your computer will bring back Artists' images. I am seeing the same behaviour in Big Surr.
Sometimes I still think about going back to Mavericks on my iMac Pro, really!