Have you actually set the cover art naming & location option to "folder.jpg"?
Tools > Options > File Location > Cover Art >
In the same folder as the file (as Folder.jpg)The default naming rule & location is not "folder.jpg" and even though MC is supposed to automatically use "folder.jpg" if no other cover art image is found, setting this option would make "folder.jpg" work more reliably.
You can also uncheck the "Also store the image in the file's tag" option. I have not tested this, but I guess this option (if enabled) may be a part of the problem. MC might be trying to embed the found cover art image. You have set the audio files to be "read-only" and when cover art tagging fails MC might not revert to use externally linked "folder.jpg".
In general, the current cover art status for each audio file is displayed in the "Image File" library field. (You can add this field to "Action Window > Tag" or as a column to a list view.)
I did some quick testing and I was able to reproduce the problem when MC was set to use the default cover art location options (In a specified folder + Also store image in the file's tag) and the audio files were on a "NAS" network share (= a USB memory stick plugged into my wireless router). The problem disappeared when I set MC to use "folder.jpg" and also when I imported the same audio files from a local hard drive even without changing the cover art location options.
In any case you can try to fix the problem by doing: select the files > right-click > Cover Art > Quick Find In File / Cover Art Directory.
EDIT
During the past few years I have posted many cover art related replies. I don't know if any of them apply to this particular issue, but you can find a bunch of links here:
http://yabb.jriver.com/interact/index.php?topic=59513.msg449291#msg449291