Well, Hendrik might have misunderstood the question I think, as I noted in that other thread.
But you are on the right track now I think. If you use the "Get Movie & TV Info" function to download metadata including images from TheTVDB, then MC knows that the image in the folder next to the episode is Cover Art for the episode, and so will delete it along with the video file when you delete the episode using MC. MC will also ask if you want to delete the sub-directory if it is now empty, at least for me using this process. Same with movies as noted above.
If you had been downloading images manually and then assigning them to the episode using one of the Cover Art functions, or even just renaming them to match the episode name, then MC probably isn't in control of the image. It won't delete the image because it didn't place it in the directory.
The key is to do everything inside MC, using MC functions, and then it all works as expected.
If you really do need to download an image for a movie or TV episode because there is no image available to MC via the "Get Movie & TV Info" function, download it to a location that MC doesn't watch for Auto Import, rather than to the sub-directory the video file is located. Then select the episode in MC, use the "right-click > Cover Art > Add from file" function, navigate to where you put the image and select it, and allow MC to copy the file where it wants to when it asks. MC will then put a renamed copy of the image into the sub-directory next to the video file. At that stage you could delete the original image you downloaded, if you wished, as it is no longer required.
I find the images from TheTVDB are adequate. I can usually tell that they belong to the correct Series, which is enough for me. At least they mostly don't have TV logos on them, and aren't for a TV program that was playing during the padding of a recording, for example. Sure, they are mostly a frame from the episode, but they have been selected intelligently by someone most of the time, or they are a PR image. I really don't worry about that at the episode level.