My guess is its either one of two things;
The music player on your phone is automatically downloading artwork from the internet.
There is a conflict between embedded album covers and folder thumbnails (eg: folder.jpg).
I'm 100% sure that the embedded CyanogenMod Music player i use doesn't download artwork from internet.
For the second one i can't find it. I've looked in every single folder in my phone and that pic doesn't appear anywhere.
Looking on my device on MusicBee however displays the correct cover pic.