Most likely your WAV files do not contain album art…
You can fix your missing album art by adding it to every track with tagging software. However, in your case in may be more convenient to just copy the relevant album art in each folder that contains the WAV files. Make sure your album art is in jpg format. The name of the film must be folder.jpg (this is critical, e.g. folder.jpeg is not recognized!). Furthermore the size of the album artwork (expressed in no. of pixels x no. of pixels) is limited. If you stick to, if I remember well, 2300 x 2300 at maximum, you are ok.
Please note these are my experiences with Nova and Core. Important for Core users: The info above can be applied in the Downloads folder. You should NEVER touch the Music folder as you can/will break the system. Instead upload album art via the Naim app on your iOS, iPadOS or Android device.