I'm surprised how deeply Mp3tag has buried the option for embedding covers retrieved from Tag Sources. I couldn't even find it when looking the other day, until someone else mentioned that it's under the Utils button that appears in one of the dialog boxes for Tag Sources. Sheesh.
The options for handling retrieved covers should be configurable under Tools > Options > Tag Sources. Also, the two checkboxes should be more prominent in the Tag Source dialog, not buried under a button.