iTunes "Downloaded" artwork is the culprit. Most times, when you download iTunes artwork, it ISN'T embedded in the MP3. iTunes does this to save space, but the artwork will usually only show up on the same system and under the same user account it was downloaded to.
It's a real pain if you use DJ software that has the ability to show album art for playing tracks, and it isn't there.
Or.. as in this case, you export it to a device and it doesn't appear.
I just went through my entire library yesterday with MPFreaker, and "embedded" artwork into every track that didn't already have it.
It's $10, but you can download a fully functional trial. http://www.lairware.com/mpfreaker/
Now when I play anything with DJay, it shows the artwork.