Ok, so I have temporarily switched to English so I can understand better.
I right-click and then Edit a single track. In the box for the artwork, I right-click and choose "Search Internet": the new window opening is Tags(1)/ artwork preferences ? I see that by default "link the picture to this music track" is ticked, and so is "link to an organised copy of the picture" (see my screenshot in the first post, even though it's in Italian, it's the same window). The field contains "Cover.jpg" but it's light grey and uneditable, where should I put <Album>.jpg or <Album Artist> - <Album>.jpg as you suggested?
Also, unrelated to this issue but I'm taking the opportunity to report it anyway: there's a typo on the Italian menu when you right-click the box for the artwork. "Scegli immagine", the translation of "Choose Picture", appears like this "Scegli mmagine" (the second word is missing the "i" at the beginning).