I've used both the Roxio as well as sync'd with windows. Most of the artwork is avaliable on the computer. There's only a couple of single songs that dont have artwork.
Whenever I used Mass Storage mode and drag my music to my microSD, all available art work transfers to my device just fine. I am not exactly how the f*ck it works, since the picture is nowhere to be seen on my microSD... but it works, so I do not complain!
*Unless it is some sort of hidden file that gets transferred... I have no clue. It just works*