As a Sony zx2 owner myself, I have found the solution. The issue is that Album Cover Art Work cannot be a 'progressive' encoded jpeg. Only 'Baseline' encoded jpeg files will work.
That applies to images saved in the same album folder (folder.jpg) and/or artwork embedded into tags (ID X.X Tags or Vorbis Comments).
I'll let others call out their favorite image editing app (Irfanview, Xnview, etc) but you just need to re-save your image file as non-progressive.
The process I followed was;
* extract all my embedded image files (used Tag&Rename)
* scan all the directories for 'progressive' jpegs (exiftool)
* losslessy re-encode the jpegs to 'baseline' (jpegtran)
* re-embed all the modified image files back into the music files (dbpoweramp batch encoder)
* and finally - recopy those files to my Sony zx2
Hope this helps someone.