As this thread shows, if MusicBrainz has the cover + the Picard settings are set correctly = your files get a cover.
Why your files don’t have a cover is not a question other people can answer. All we can do is confirm that Picard and MusicBrainz is working as expected. If you have matches where a cover should be loading/saving, but it isn’t, you can give us the specific link and we can take a look
You don’t need to load your entire collection into Picard over and over again. That’s your choice. I would tag the files once properly, make sure they are matched against the proper release. Then you can load them into Picard for updating the tags if needed.
But we had this discussion before, and in the end it’s your choice.
Not all releases have cover art on MB. I can’t tell you generically why the files did not get cover art. You’ll need to look into the individual cases.
What about you save the 12500 files that got cover art, then go through the rest?
There are multiple options. You can choose a different release, upload missing cover art, or use some additional cover art plugins (such as TheAudioDB or FanartTV).