Seems I have the same problem.
All my music is in Apple Lossless Format with Album Art embedded into each song.
I exported my iTunes library to WMA format for using on mobile devices other than my iPod, no problems, all the album art is still embedded and shows in Media Player and in Explorer.
When I sync with the Media Player to the
N95 no album art shows on the
N95. Same when I just drag the music onto the micro SD card without using the Media Player.
But all songs on the micro SD card in my
N95 show the album art when looked at with the Explorer through my laptop.
Not good at all, Nokia!