Strange thing. I tried it with the same album. I double checked that in the itunesmonkey options the Artwork is checked.

But - excatly as you - I don't get any cover saved in my track. None of the itunes modus (match, search, monkey) works. Don't even with CTRL-S from the MediaMonkey-Trackview (= synchronize Tags from MM-Database to the single track ID3tag).
The main reason for me to use this Addon are the metadata like artist, title, year, album and other informations. Not the cover.
Would be nice to hear what the problem could be.
Just for the records:
That was my fault! I tried to recognize tracks from 'My Computer' node. That doesn't work with this script.
I you have to add/rescan it into the database first!
Please read my detailed requirements in the next post.