Hi, welcome to the forum!
The simplest solution to the problem is to disable the "copy to folder" setting. If your library is not organized as one folder per album, saving art to the folder will cause this problem.
Also make sure that embedded is the top (if not only) option of which artwork to display (also found in Tags (1)). Then rescan your library using the button on the artwork retrieval dialogue. That will probably clear it up.
For bulk update, right click and go to the auto-tag by track menu.