It is a bit of a trap, isn't it?
MC is doing what it is supposed to do. When you change the location of Cover Art in Options, if the current location exists MC will move everything in that location to the new location. It looked like a copy to you as you cancelled it before it finished. Normally it copies the contents across and then deletes the original location. Just as well you cancelled it! Deleting everything on D:\ would have been bad.
I thought it used to ask for confirmation before doing the move, but I just tested and it doesn't now.
I'm not sure why the Cover Art folder got set to D:\, but I suspect that if the original folder, "G:\2. MUSIC\JR COVER ART", no longer existed MC just changed the setting to the root of the current drive, or something like that.
If you had changed the setting while "G:\2. MUSIC\JR COVER ART" still existed, then MC would just have moved the folder correctly.
So, how to fix... If you try to change it now, it will try to move the files. Thinking... I'm pretty sure this conundrum has been solved before.
We'll use a Big Hammer I think.
Close MC and Media Server if running.
Make sure that your Cover Art is in the "G:\2. MUSIC\JR COVER ART" directory and nothing else is in there.
Perhaps create a Windows Restore Point, or back up the Registry before making the change below.
Start the Windows Registry Editor and go to the location "Computer\HKEY_CURRENT_USER\Software\JRiver\Media Center 25\Properties"
Find the Key "File Location - Image File Location", edit it, and change the Value Data to "G:\2. MUSIC\JR COVER ART"
Restart MC and check that the setting in Options is now set correctly. MC should now find the Cover Art correctly.
When happy, close the Registry Editor.
Lastly, breath a big sigh of relief.