Ideally, the file list becomes empty with that filter.
Check the cover mime type: it should be jpg or png.
Check the file types - I think the support for e.g. flac is still not quite up to the mark and tags in wav files are ignored completely.
And finally: delete the picture cache of the Windows Media Player and also all files called folder.jpg and or albumartsmall.jpg and export folder.jpg from the files again.