I don't know anything about that sony.
But.
What is the difference between those files that work and those that don't?
Adapt your list view so that you can see how many covers you actually have in the files.
Could you check if they all have V2.3 tags? Simple V2 does not support cover art.
Then if every thing is unsuspicious: could you check the integrity of your mp3 files (I hope that they are mp3 files and not wav) with one of the integrity checkers like foobar2000 or mp3val or other of your liking.
Also consult the documentation of your walkman to see which tags that piece of equipment supports.
foobar2000 is a freeware player and library management program which also supports functions/utilities to restore the vbr header (if required) and to rebuild the mp3 stream.
You find these utilities in the list-context-menu under "Utilities".
mp3val is program only to check the integrity - you can use a scan-only mode to see if there is any trouble. In many cases problems can be fixed.
I hope that this helps.