iTunes keeps the artwork in a folder in your iTunes library, not embedded in the file.
That is unless you add the cover art yourself and not let iTunes do it automatically.
You do that by finding the cover you need on google/bing, select all files of a given album in iTunes, click crtl/cmd + i and then drop the artwork in the appropriate slot. If you have done this correctly you will see a statusbar in iTunes where it adds the coverart for each file you have selected. Yor SBT should see the new coverart immediatly or at least after a rescan of the library.
This way you coverart will "forever" be embedded in your alac files.