This seems to be a common problem and I think the resolution depends are a few variables.
iTunes 12.5.3.17
Method 1
If iTunes CANNOT download album art then you should add it yourself.
- Find an album .jpg or take a screenshot and save it under the iTunes/Album Artwork folder
- Go to iTunes and select all songs in album and Get Info, go to Album Artwork tab and add the image you just saved.
- Be sure there is a green check in upper left corner on album art thumbnail. Even if you see the image in the main window, you have to click on it to enable.
Method 2
If you get iTunes to find the album art and it is showing in iTunes, but not as a thumbnail in Finder.
- Got to iTunes, Select all songs in album, Right click and select Get Info.
- Go to Album Artwork tab. If you see the album artwork you must click on it in the main window. You will then notice a green check appear on the thumbnail in the upper left corner. Click Ok.
Then go to Finder and verify that the thumbnails have updated. This worked for me. This is the first time I've seen this process, but it's also rare that I manually add music to iTunes outside of iTunes Store.
I hope this helps someone.