Try this as a test to verify it is working as expected:
1) Make a copy of an mp3 with artwork inside and import this copy.
2) Change Artist and Album Artist to "Test".
3) right click Cover Art\Save Cover Art to External Location Specified in Options
4) delete the copied mp3
5) click Options\File Location\Cover Art\Clean cover art folder
6) check the recycle bin, you should see the artwork for the deleted mp3