They don't use the same database. WMP uses one and iTunes uses the iTunes store for artwork.Also, there is no artwork for any of The Beatles albums.
Apparently iTunes and Media Player don't use the same database. Not a big deal. My guess is that it's a community project and I need to upload those images somewhere.
What I do is go to Amazon, find the album, copy the artwork, and then paste it into iTunes or WMP. This way you can virtually guarantee the artwork you want.