on my computer i have helium 2009 11 and 12.
by cleaning my hard drive, i found this folder :
C:\Users\%me%\Pictures\Helium Music Manager\Album Pictures
i didn't know there was such feature ! i guess one of my version could store all the picture art into one folder !
I guess the version 12 doesn't do that anymore ? i check the files dates and they cames from 2015 whereas i install the 12 in 2016.
it would be great to have this feature again ! and to settiing up a folder (not the default one of my picture profil i never visited)
This is available from Options > Pictures.
Read more about it here: