The issue could be that the edit to attach the cover art to the release hasn’t yet passed and Picard will only use approved cover art by default. To get it to use the cover art immediately, you need to uncheck the ‘Options’ -> ‘Cover Art’ -> ‘Cover Art Archive’ -> ‘Download only approved images’ checkbox.
If it still has issues downloading the file, possibly because you’re asking for a 200px or 500px file size and the CAA hasn’t yet created the resized files, you can attach a local file by dragging and dropping it on the cover art display in the lower right hand side of Picard’s main screen. Note that you must have your release selected to apply the image to all the files.