I agree to the opinion that the finder is not the origin of the problem, since I see the same or similar behaviour with OS 10.6.8. My observations are:
1. I just imported an audio CD into iTunes 10.4.1 (mp3 format). The cover art was not in the graceland database, so I digged it out myself from the web and added it to all tracks by dragging it into Information->Cover. Checking then the files in the iTunes Music folder with the finder, they are all displayed with cover art icon.
2. Manyually copying one of the mp3 files into another location of the computer results in the cover not being displayed by the finder.
3. mp3 files in my iTunes Music folder which are there since ages are all correctly displayed in the finder.
4. Now I have some mp3 files bought from Amazon (it's a free country after all, isn't it?). Their download comes with cover art. They are automatically put in some folder called Amazon MP3. I am quite positive that they were correctly displayed in the finder some time ago. They are not any longer.
5. I import some of these mp3 files from Amazon into iTunes. In my understanding this means that iTunes just copies them into the iTunes Music folder. Inside iTunes, cover art is correctly shown. But in the finder (now in the iTunes Music folder), this is not the case.
6. Item 5 does not change if I remove the cover art from the mp3 by iTunes and then add it again. Very contrary to the behaviour in item 1.
7. The only difference I see is that the files from Amazon are coded with LAME and those imported from CD are coded by iTunes, of course.
Very confusing and very annoying. I dare say that this is a buggy behaviour, but I cannot see what this could have to do with iTunes (see item 2, where iTunes is not involved at all), unless there is some very weird underlying connection, e.g. through some icon database. On the other hand, these problems definitely showed up with the upgrade to iTunes 10.4. Contrary to the statement of Apple's, the further upgrade to iTunes 10.4.1 did not solve the issue.
I am somewhat relieved that still running Snow Leopard seems not to be the origin. I recently became rather reluctant towards software upgrades.
Does sometimes someone from Apple reply to these forum posts?
Best wishes,
Volker