I got the same problem.
At first i had it with mame.. whenever i would launch a game its playing like normal but when exiting the game the front cover and metadata pictures were gone.
But after a while it just fixed itself?
But now my neo-geo games are having the same issue, it doens't matter what game you run all of them get deleted(or not shown) when quitting a game.
I'm using retroarch and tried some other gaming platforms but they keep all the images.
Its just Neo-geo on Retroarch at the moment.
Also didn't move or delete some files.
Its not the worst problem... but its annoying