you ticked the "embed picture in the music file" option on the left side of the Tags(1)\artwork settings?
What version of MB are you using? (Help > About)
How was MB installed? (Store, Installer, Portable)
Please post a screenshot of your Tags (1) settings.
Is this happening for all files, or just specific ones? If specific files, are they be marked Read-Only?
What format are the files?