I see your issue. Normally, running in MTP mode, your album art will automatically be loaded to the Albums folder, with a link between the album art file and the individual music files. MP3Tag can repair your album art, both embedding the art, and exporting a handy album art.jpg or folder.jpg labeled file for you.
I have found that the safest method of repair in MTP is to modify the information on the host PC first, retransferring the music file, then allowing the Fuze to do a database refresh. This is good for embedding the album art if desired.
As long as the art is 300x300 (very commonly available image size, as you’ll find), the Fuze will automatically handle the requisite resizing to its wee 120x120 size. I have settled upon this size for good resolution. The e200v2 displays album art considerably larger, and the current size selection works beautifully with both devices from the same library.
You can open the Sansa in Windows Explorer, then navigate to the proper memory (internal or external), opening the Albums folder. The jpg file from the MP3tag application is simply dragged and dropped to the correct album folder.
As a footnote, as the firmware development halted just shy of the goalpost on the e200 by a mere yard, one must set the attributes of the jpg file to “hidden” only during the initial transfer, or the Sansa will plop a reference to the file into the Photos folder, making album art mirror in the Photos mode. After the database refresh, you can set the attributes back to normal. Bizarre bug, but I live with it. This issue was fixed for the Fuze.
Rhapsody doesn’t always transfer the album art correctly, a sporadic bug. This can happen either with a ToGo transfer from the server as secure WMA, or sometimes with CD rips using the R4 client (the encoder sounds pretty clean), despite the requisite art showing within the client. Go figure. I love MP3Tag, it makes repairs so very simple.