I've had this issue on my iPhone 6 running iOS 9.0.2. Pasting every album cover is going to take forever. I have a lot of music.
This happened to me the other day. I powered my iPhone off and back on and then resynced. BINGO. Every piece of artwork was back. Skip ahead to today, every piece of artwork is gone again, except what Apple puts in for the "header" images for artists that match up to their system (I don't use iTunes Match or Apple Music. All my music is in mp3 format synced from iTunes on my iMac).
If I sync again will the artwork reappear? I don't know since I'm at work now and have to wait until later today to try it. I did try syncing multiple times without cycling the power on the iPhone and that does not work. Didn't have time this morning to fool around with it.
Definitely very annoying.