Does iTunes manage your collection, or are you trying to move your music to a NAS with iTunes server?
If the former, and Coverflow works on the local iTunes, you need to use iTunes to move your files from your local PC to the NAS. The "downloaded artwork" stays local and Coverflow then works. Alternatively, you either need to embed the artwork in the ALAC files (manually, or using one of the utilities available on the Web), or if you have the artwork as JPEG, I think (can't confirm this) that it works if the artwork file is copied to the directory where the music lives. This last one means that if you have ripped CDs, each CD will be in its own directory, so one JPEG per dir.
If you do go down the embedded artwork, I advise doing this before copying it to the NAS. I didn't, and I needed to embed the artwork for my Sonos, and it slowwwweddd thhiiinnnngggsss dddooowwwwnnn....