The latest versions limit themselves to loading no more than 64MB of files from disk. This is to prevent out of memory errors that may have adverse affects on the stability/performance of the whole application.
By default it will display multiple images (if present) inside the same folder as the playling/selected file. The folder path can be configured via the right click menu.
Alternatively, you can put it Last.fm mode and it can download images. You can trigger downloads manually or enable automatic downloads which is off by default.
There are many options for thumbnail size and alignment via the right click menu. Circular thumbnails can also be enabled.