Unless the cover image(s) are either embedded into the files themselves or are present in each folder (e.g. a folder.jpg file) you'll have to gather them from the internet and rebuild the thumbnails, which may take awhile to do. The Get cover art from Internet feature is "slow" or appears to do it one-by-one because it has to. There's been issues in the past where metadata/cover sites banned MC's users from accessing too much data in a short time and it has to pace itself in hope to avoid such issues.
If they're audio files, would really recommending embedding the cover(s) in the files themselves, makes things a lot easier.
