Roon is always aiming to provide a match to good metadata, with Rovi (AMG/Allmusic) the premium source for the Roon metadata server. As far as I can see, Rovi only has one cover image per album. Therefore Roon is set-up with one cover per “album”, be it an individual CD or a set. This means that when the metadata server has an “original album covers” set as a single item, you will get a single cover.
Practically speaking though you can choose, because you can make Roon fetch the discs as individual albums rather than as a set. This only gets messy when the set has something in it which was never released in individual album form, although even that can be worked around in a number of ways.
What you can’t currently do is mix the two. I would also like this: each album in the set having its own cover, and the set as a whole having a cover. This would either mean user intervention or Rovi et al upgrading their offering, or both. (I think Roon’s amazing power with metadata really has the ability to make Rovi up the ante…)