As I said before, mine was like this for a few days after I bought the device. The Zune device from what I've read doesn't check for new art during every sync.

One trick that might fix the problem is, go to the "Options" menu, select the Sync submenu, from there there should be a place on the menu with the title of your Zune device, select that menu, then finally from there select "Start Sync".

I've noticed that when I use that start sync button as apposed to the other, that it syncs everything.
Maybe it's just me, and it really doesn't do anything differently.

Anyways, it tooks about four days for all my album art to appeare on my Zune.
Give it time kiddies. :-D