huh, that's strange. never happened to me, but then again, I've only used it with winamp and foobar.
I did a quick scan of their forum for people with similar problems, came up with nothing. check the setting for coversearches and how covers are stored on your comp. there is also a manual search feature in the right-cklick menu if all else fails.
I was wrong about the last.fm search, but you can still search google and five amazon.-sites. and make sure the option "Query just for artist" isn't active.
also in options you have a troubleshoot-feature.
I'm sorry if I'm not very coherent but it's late and I've been up since 5.45 this morning
anyways, good luck and I hope you get your problem solved, cd art display is awesome when it works.
edit: heh, last thought, try asking for help on their forums, they're usually very helpful, just make sure you give them info about your os/software setup.