I had this same problem (missing artwork) when upgrading to new OSes (Mojave to Catalina) - which was the move from old (disco'd) iTunes to the newer Music for MacOS app. After trying a handful of times, I gave up trusting Music to find the proper artwork and manually updated all mine. Here's how I think about it (right or wrong though it may be):
There appears to be a difference between the way Music handles the artwork of "streamed" (Apple Music purchased) songs and songs you "own" or imported manually yourself (non-streamed songs via Apple Music servers). The tags for song title, artist, album, year? track time? (and who knows what else?) must exactly match the stored Apple Server versions in order for the "auto load artwork" algorithm to work well. And even then, there appear to be hiccups. I tried in vain to change my library file tags to match the Apple Music server names (as best I could guess them from friends' libraries), and still auto artwork didn't succeed.
Accurate tags have always been a mess across all music platforms and it appears they'll never make real progress. There's no money to be made in better/accurate tags. Conversely, updating tags willy nilly to attract more eyeballs allows companies to make money anew on older files. Just re-purpose the tags, even if they're misleading, to keep up with trends. Capitalism at its best (or bratwurst)? : )
I have only a few hundred Apple Music streamed purchases, and 80k+ "owned" files. I lost the artwork for about 6,000 files during my transition. Interestingly, it wasn't my oldest, nor newest imported files that seemed to be missing the artwork. Years ago, there was a version of iTunes that included a command in the vein of: "Save artwork to media file." Before or after this (not sure which, or maybe even both?) the artwork was saved to a dedicated Artwork folder. Meaning, some vintages of media files did not contain the art, while other vintages did. This Artwork folder has come and gone, depending on when you last saved artwork to the media files. So it's even worse than a "vintage" or timing (e.g., iTunes versioning) problem.
Then this command went away. Presumably because the then-current evolution of iTunes handled the artwork in another (superior) way. Thus, the artwork across time has been handled in several different ways. As is the nature of all software, the newest Music app likely can't handle every old version of iTunes artwork handling. Just push your internal "accept" button on these kinds of things, it's how the world works.
So, I'll suggest biting the bullet, and crank through updating your missing artwork manually. While it's a pain, it'll bring your vintage files up-to-date. Always a good thing, despite the pain.
