Yes, welcome, and FWIW, I do all my file management using MusicBee and when I occasionally do find it helpful to use Windows Media Player, I find that WMP itself is missing some of the album art I load through all my MB rips, etc. It's minor (<1%) but it's been there. Sorry that I have no recent-at-all experience using WMP to transfer music-anything.
For now (this would be urgent to me), and until you get familiar with MB, have you tried dragging-and-dropping your music to the Sony player using File Explorer? I've always and regularly drag-and-dropped to various devices, satisfactorily -album art and all.
Good luck getting past this which you will.