Creating a new copy is optional. You may have ticked the "do not show this again" option if MC does not ask. (You can reset the behavior in options). The "copy" option works from any directory, not just from the audio file's location. The copied image can also go to the specified cover art location (if that option is set).
It is perfectly fine to also use a different filename (some users prefer this). However, this limits how the "Quick Find" tool can work.
The tool looks first for a match, either [Album Artist (auto)] - [Album] or Folder.jpg depending on the set option. If a match is not found it can accept any image file if only one image file exists. Obviously it cannot choose from many if a matching filename is not found.
A quick way to link any image file is to have the expanded Image window open in Action Window > Tag (click the small thumbnail frame on top left to expand it) and drag & drop the image into this window from Windows Explorer.
I usually have lots of image files in the album folders (Back, Disc, Booklet images, etc). In some cases I intentionally use a filename that differs from the set cover art naming rule (for instance: CD1 cover art, CD2 cover art, etc).
I import the additional art files as standard images and tag them with the Artist and Album tags so that I can use them inside MC.