I have had no trouble embedding artwork for individual files. Roon displays the embedded artwork for each individual track correctly. Maybe this helps:
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I embed the artwork using Yate, an ID3-tag application (Mac OS), but there are plenty of apps for this. I started using this app when I found out that artwork I thought was embedded by iTunes, actually wasn’t embedded at all (my own sloppy work).
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In your Roon settings, General, the second option gives the opportunity to have more artwork for an album. This has to be switched ON.
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Roon Support provided me with a simple trick to a different artwork problem: In Roon settings, Setup, clear the cache for artwork/images. I rebooted the Roon core afterwards and it solved my issues with artwork.