Album art is "special" and is not carried by the XML files. Album art has several options, which I won't go through in detail. Instead I'll refer you to the wiki article and discuss on in particular.
https://wiki.jriver.com/index.php/Cover_ArtThe way I do it is to have MC store the cover art INSIDE the audio file. For some modern file types, like FLAC for example, the art can be embedded right inside the music file. So they can't ever be separated; they are one file!
This makes it quite easy for me when I migrate things from system to system, etc. The MC options for this are at:
Tools > Options > File Location > Cover Art > Also store image in the file's tag > (Checked)
Once you set this option, any time you update cover art on a single file, it will be stored inside the file. This means that you will want to do this on ALL of your files in batches in order to get the images inside the files. Note that if you do backups that track the state of your files, this is going to trigger new backups on all of your music files. In my opinion that's not a bad thing, but it's good to know, especially if you use a cloud based backup solution.
Good luck.
Brian.