Welcome, rikkardo.
It is indeed a comprehensive application. There are a few fundamentally different types of views, and each can be configured in many different ways. From your comments, it seems you're using a Categories View. That provides a "drill-down" method of navigating through categories (e.g., Genre - Artist - Album—although the categories could be anything). It's a split view, where the top pane shows all unique values for the level you're at. For example, having selected a Genre, it will show all the Artists with files in that genre. They can be represented in two different Styles—a stack of album thumbnails or a list. The style is set from the view tab drop-down menu, and can be set separately for each level (e.g., a list for Genre, then thumbnails for Artists, etc.). The bottom pane is for displaying the details of whatever is selected in the top pane. It normally opens only at the lowest category level (e.g., at the Album level, it will open and show the track details), but can be set (in Customize View) to be always open.
Now, to answer your question...The top pane will show separate thumbnails for each album only when at the Album level (e.g., after double-clicking and artist album stack). By design, thumbnail captions will show only what the thumbnail or stack represents—an album or artist name, not both. If you're not interested in details, you could set the style of the bottom pane to "album thumbnails." You would then see the album covers for any artist(s) selected in the top pane.
While a Categories View is "pretty," it's navigation method is somewhat restrictive. A Panes View allows any values in any category to be selected in any order. The files that match whatever values have been selected in the panes are then displayed in the lower pane. As with the Categories View, the lower pane can be configured with different styles, grouping and sorting. A Panes View can be used in the same manner as Categories View, selecting a genre and then an artist and then an album, but it's particularly useful if you wish to select as well by other criteria—like Year, Rating, Quality, Keywords, etc.
I prefer a Panes View, use a rather detailed one for my primary Audio view, and use that 95% of the time. But MC doesn't does force you to choose. You can create as many different views as you like, and use whichever one is appropriate in the circumstances. You could, for example, have one Categories view for browsing and playing pop albums, another for classical, and a Panes view for making more detailed selections and for importing and tagging.