Hard to say, as I cannot look over your shoulder. So I don't know whether it is a handling problem or something with the files.
So how do you try to embed the covers?
The files could be in a format that does not support covers. So what format are they?
The settings to read, write and delete tags could be inconsistent so that you write tags that you don't read - see File>Options>Tags>Mpeg for that with special attention to the settings for APE tags.
The files could be corrupt, see How to check files for errors? for tools to check MP3 files.