Do you also want to delete the cover art files from your hard disk?
|Yes | |No|
It is for externally linked cover art and I think it works fine. MC does not delete external image files if the No button is pressed. Only the cover art links are removed.
I guess you mean embedded images. These are removed from file tags in any case. There is no cancel or undo function.
The only way to remove visible cover art without altering the tags is to disable tag writing completely before using the Remove Cover Art tool. (Tools > Options > General > Importing & Tagging > Update tags when file info changes)