For movies and tv shows it's possible to choose a location for the cover art folder in options.
Well, sort of. The directory you're talking about is used as a container for the Series and Season cover art for TV shows. For Episode cover art and Movie cover art, it is not used at all. Instead JPG files are written next to the individual video files. So, SpiderMan.mkv will have SpiderMan.jpg right next to it in the same directory.
Every time (not often of course, but still) I reinstall MC I have to do right click on the videos and choose 'cover art > rebuild thumbnails'. A bit inconvenient.
For home videos, or others than don't have cover art that gets downloaded, MC generates a thumbnail from a specific position inside that video file. You can control what that position is in the Options. Once you have a thumbnail you like, you can force MC to write that thumbnail out to a JPG file, so it gets saved:
<right click> Cover Art > Save Cover Art to external location...
The advantage here is that MC won't EVER try to regenerate a thumbnail by looking inside the video. Instead, it will go straight to the JPG file. This will happen VERY fast. As opposed to generating from inside the video, which is comparatively slow.
Note that, if you are particular about your thumbnails, you can generate your own with an external utility and then tell MC to import the thumbnails, one by one. If MC just won't give you a representative thumbnail, you can go into something like VLC, and save a video snapshot. Then tell MC to use it: <right click> Cover Art > Add from file. MC will then ask if you want that file copied next to the video. When you say yes, MC will copy it into place and from then on use that JPG file for the video cover art, and generate it's thumbnails from there. In this way you can have great control over the exact video frame used for thumbnails and have them saved for future use.
If you ever get to a point where some or all are not showing thumbnails, you can do: <select files> <right click> Cover art > Quick find in cover art directory . This happens super fast and regenerates thumbnails in a snap.
Brian.