Detect presence of %artist%.jpg

Is there any way of adding a column which confirms the presence of %artist%.jpg in the same folder as the MP3 file?

No there is no such action/expression.
Anyway: what do you need it for?
You can easily export all covers to the filesystem.
You can easily re-import cover files from the filesystem, and if you assign the name %artist%.jpg and the type to lead artist then you can filter for files that do not have the cover type "Lead artist"

NOT %_cover_type% HAS "artist"
These files then probably do not have the %artist%.jpg in the folder as the import did not do anything.

The %artist% image files are not currently embedded in the MP3s but reside in the same folder. Are you saying that they need to be embedded to do what I require?

In a way yes, as MP3tag does not look around what might also be inside any folder.

But: if you have these files with the correct name in (most of) the folders, the you can use an action (even a quick one) to import the images. You can specify the name and the type of the image. And if you keep the old images that are already embedded, you will find in the end all those files that do not have an embedded image of the type "Lead artist".
I am afraid that you have to embed the images so that MP3tag can see them as being part of a particular file. MP3tag looks only at individual files, it does not care about folder structures. So the check "is in the same folder" is not feasable.