First of all, you are not going to be able to store cover art in the file tags if that is your intent. WAV does not support tags.
Secondly, the most plausible reason this is not working is due to filename length limitations in Windows. Since you have chosen to store the cover art next to the file, if the directory path is too long, MC won't have sufficient characters left to store the cover art.
I would suggest you do one or two things:
1. Convert all your music to FLAC and store the cover art in the tags
or
2. Create a dedicated cover art directory near the root of your drive (i.e. C:\Cover_Art) and tell MC to store the images there
Option 3 is to change your file structure so that you don't reach the length limitation, although that's not a guaranteed fix, especially if you are into jazz and classical pieces with complex naming schemes.