Cover art in wav files doesn't show on Windows/Walkman

Hello, I recently bought a Walkman music player (NWZ-A15) and wanted to port music to it. I tried using mp3tag to add an album cover to my songs, and while it saves on mp3tag, the image doesn’t show up on windows 10 nor does it show up on my Walkman. What’s the cause of this and how do I fix it? I’ve added some images below to show what I mean.

WAV files and cover pictures are not widely supported.
Support varies from device to device. The same applies to software.

I agree with @LyricsLover : I do not think that tags in wav files are supported by native Windows - and also probably not by your player.
You could try flac - but that is also a problem with native windows.
In the end mp3 would probably the supported format.

I see, that’s a shame. Thank you for the help!