Hmm...
I embed most of my cover art, though I do have some (for video mostly) that are in folders. It all works fine on my system. Which doesn't help you at all, I know.
I wonder if you have something unusual going on with the cover art file or files. Take a look in the directory of one of these. Do you have only one JPG file, or are there several maybe? I would try removing the cover art manually from the directory. Then verify that it's gone using your external tools. Finally, re-add it again with MC and see what happens.
I've run into a couple of odd file name things with MC, but only a couple of times. Each time it was with "." confusing MC's processes. A leading period ( . ) can cause MC to ignore a file completely, as an example.
I'm just throwing out ideas here; as you can probably tell!
Good luck to you.
Brian.