What are your settings in "Options > File Location > Cover Art? All settings.
WAV files without metadata just get grouped in with other unassigned wav files on my system so the database just cludges them in one folder on MC. That clearly doesn't work, so I manually assigned the album name for each one and that put them into a single folder inside MC27.
MC doesn't move files into one folder unless you tell it to, usually using the Rename, Move, and Copy Files function. MC just displays all the files as one group, called an Album. Where are all these files actually located, and are there other WAV or image files in the same folder? Is the second image in your first post the full content of the folder these files are in?
If you are unable to edit metadata for the first file using MP3Tag, is that file write protected?
However even though I removed all album art from the rest using MP3tag it still does exactly the same thing even after completely removing the album from the database and starting again by re-importing etc.
Deleting files from the MC Library and then re-importing will very rarely fix these sorts of problems, unless you take extra steps. It usually isn't even worth trying. MC keeps track of deleted files and re-uses the metadata it knew about them. It also doesn't delete external Cover Art files, depending on settings, so it can re-use old Cover Art if it finds it. Search the forum for "Removed Database" if you want to know more.