First I'd like to say that now ALL my albums has cover art in the HM-901 after doing this. So this works.
To make sure the folder icon has (the correct) image, in the folder properties select optimize for pictures (and check the box that all folders within the main folder is so also). Then select big icons or preferably extra big icons in folder view, and walk through the album folders to check that the folders are updated with the cover art. If not, try renaming the folder and if this doesn't do it then make a new folder and put the files in the new one. This may be time-consuming, but it gets the job done.
I originally expected that you would need a jpg-file in each of the album folders with the audio files, but FLAC or MP3 files with cover art embedded might be enough for Windows to fetch the image and embed it in the folder icon. The picture I posted above is showing two images embedded in the folder icon: One is from the jpg-file and the other is from the image embedded in the (first) FLAC file in that folder. This makes me suspect that you actually don't need the jpg file, but will do with the embedded images in the audio files. Bottom line is that Windows finds the content of the folder and displays it in the folder icon.
The HM-901 reads the image in the folder ICON - and voila - you have cover art shown.
Well, and after the job is done, you can go back in folder properties and select optimize for music again.
It looks like you have to do it on the PC, before transfering the folders/files to the SD card, because when I do as described in the folders on the SD card, then it doesn't work...
you might be onto something but it is still strange that some artworks are just displayed while other are not.
How do you transfer music? copy and paste/ move folders within Windows?
I usually use Jriver.