The problem lies with how the MyCloud web portal or it’s corresponding code within the My Cloud firmware is handling the MP3 files metadata tags. Assuming of course all the files with missing album covers are encoded for MP3.
Couple of suggestions. First, check the dedicated EX2 Series subforum to see if others with that device have experienced similar problems (if you haven’t already).
http://community.wd.com/c/network-attached-storage/wd-my-cloud-ex2
Second, try either reencoding the audio file with the missing album art to ensure it’s in MP3 format by checking what audio encoder was used on the MP3 file(s) that do show the album art. Could be a problem with the web portal not liking the audio encoder used to the create the media file.
Third, try using a different program to edit/create the metadata tags if you haven’t done so already. The free MP3Tag (https://www.mp3tag.de/en/) is one popular metadata tagging program as is Media Monkey (https://www.mediamonkey.com/).
Lastly, read through the unofficial Twonky FAQ if you haven’t done so already. There may be suggestions in there to help with your issue.