It worked last time I used it. But it has some pitfalls.
When you change the Cover Art location in settings, MC actually copies the contents of the original directory and then deletes the original directory. This can lead to some unexpected and undesirable results, as MC copies everything in what it considers to be the source Cover Art directory. Everything.
Note also that when you are moving Cover Art from say the "D:\JRiver MC\Cover Art" directory to the "D:\Cover Art" directory, you must create the new "D:\Cover Art" directory first using the "Browse For Folder" dialogue window or outside MC, and then select that directory in the dialogue window, and make sure that the correct folder path is selected in the "Select folder" box at the top of the dialogue. You may need to click on another directory and then back to the new Cover Art directory just to be sure it is correctly selected. You can't just point the setting to the "D:\" location, as that will copy the contents of the Cover Art directory into the root directory of the D:\ drive. i.e. It copies the "Albums", "Files", "Season", "Series", etc. sub-directories of the "D:\JRiver MC\Cover Art" directory to the "D:\" directory, and then deletes the source directory, "D:\JRiver MC\Cover Art".
I had a real problem with this some time back. I tried to move the Cover Art directory from its original location to my "F:\" drive, but I was expecting MC to just move the "Cover Art" directory. But it didn't. It copied the contents (sub-directories and files) of the "Cover Art" directory to the root of the F:\ drive. When I noticed the mistake, I tried to change the Cover Art setting to the "F:\Cover Art" directory instead. MC dutifully tried to copy everything in the "F:\" drive to the "F:\Cover Art" directory, basically duplicating everything in my F:\ drive under the new "F:\Cover Art" directory. Luckily I noticed lots of hard disk activity and killed MC. Goodness knows what would have happened if it finished the copy and tried to delete the "F:\" location!
The only way I could fix the above situation was to edit the Registry and change the MC setting to the correct new location, after I had manually created the new "F:\Cover Art" directory and cleaned up all the mess MC had created, mostly just duplicate files. I could have restored a Library Backup with settings, but I didn't want to run MC without the Cover Art issue fixed.
The Registry setting for the Cover Art location is called "File Location - Image File Location". Search Values in the Registry to find it under settings for the MC version you are using, and change it to the correct, current location of the Cover Art directory, using the full path. i.e. "F:\Cover Art" or wherever you put it.
If you need more help, please explain exactly where you tried to move the Cover Art directory from and to, which resulted in MC (or the PC?) shutting down. Also confirm what MC shows in the current setting, and what you are trying to do to change it again.