Note, I'm using Mac OS X, not windows. Still, I think the results I see should be similar to what you'd see in Windows. I just did another experiment:
1. Make sure write to file on tag changes is ON.
2. Open file in external tagger. Art shows.
3. Remove cover art from one file. See "writing tag changes" in the bottom of the window in the status area.
4. Open same file in external tagger again. Art is gone.
5. Add art back by copying from another file in album.
6. Open both files in external tagger. Art shows on both files.
So I'm back to windows caching thumbnails. Do you have an external tagger you can use to view art? This is the missing part of the mystery. If the external tagger shows the art after you remove it, then something about your setup is not working properly. If the external tagger shows the art GONE, then JRiver MC is doing it's job and Windows is showing you old thumbnails because it's maintaining a cache.
Once you answer this question, you'll know how to proceed. Even the open source and free tagger KID3 shows album art:
http://kid3.sourceforge.net/It's funny how BAD most taggers seem now after using JRiver for a while. I'm only recommending this one as a double check on album artwork.
Brian.