Your issue likely stems from your user profile (folder) name containing characters not found in the English alphabet — Cyrillic symbols, or characters like ä, ö, õ, š, etc.
The Apple Music application does not properly function (at least in its previous version) with such user profiles, failing to display album covers even though they are downloaded to the corresponding folder on your computer; they just cannot be shown.
You can verify this by checking the name of your user folder:
C:\Users\%username%
Unfortunately, you cannot change the name of this folder (it is possible, but the system will operate unstably), so the solution is to create a new profile on the computer consisting only of English alphabet characters.
P.S. Some programs have similar issues, so a new profile might be useful in the future as well.
I hope my answer helps you!