To reproduce this behaviour, do the following steps:
Mark some files in the file list
Press Alt-T for Tags
Press the 'add cover' button
Type two or three leading characters (from your files in the actual directory) in the filename-dropdownbox
(Example: if you have "ABBA - Filename.mp3" in your directory, type 'abb')
You will see a list with all the files beginning with this characters in the dropdownbox
Now change the directory (one level up) by pressing the the yellow button right from your 'search in-' dropdownbox (the one with the green up-arrow)
Repeat step 3.) by typing again the same characters
The dropdownbox is still filled with the same filenames from 3.)
The dropdownbox should be refreshed with the content of the actual directory.
I found this behaviour, because all my covers are saved in the same directory - not together with the songs:
C:\temp\songs <--- all the covers
This is the reason why I have to change the directory (4.) to add the matching cover for the tagged songs.