WMP and MC use a different database. Obviously no one has uploaded info for the CDs you have. Are they rare?
Besides the online database MC can read CD info from the cdplayer.ini file (an old Windows standard for storing CD info). In this thread I explained how two other programs can be used for downloading info from other databases:
http://yabb.jriver.com/interact/index.php?topic=29099.0. Unfortunately WMP itself does not write anything to the cplayer.ini file even the system is Microsoft's own standard. After getting the info to MC you could upload it before ripping the CDs. You may need it again someday and other users would appreciate that too.
Cover Art is a bit similar thing. In case MC does not find a cover image you can browse to a site that contains cover art files (like Amazon.com), right-click an image URL and copy the location (at Amazon it is the "large image" link). In MC you can paste the location. Select the album files and go to Action Window > File Properties > Image, right click the image display and select Paste From Clipboard (Image or URL). MC will download the image and associate it with the audio files. Check the Track Image Location settings in the program options first.