I use portable MusicBee, most of the times the newly downloaded Artist Pictures end up in the correct directory:
"C:\Portable Program Files\MusicBee\Library\Artist Pictures\Thumb"
but sometimes they end up in
This has been happening for a few years and I might have reported it, but it still happens, it's like that directory is hardcoded somewhere, or generated uncorrectly.
Note that I don't have MusicBee installed in that directory and I have scanned my Windows register and found no keys with the "Programs\MusicBee" directory in it.