I wouldn't think it would. Folder.jpg versus cover.jpg, versus "the_album_name.jpg"
No, it doesn't matter, as long as it matches one of the patterns specified in the Preferences under Display->Album art, the default being:
If it's embedded?
I don't think you can give a filename to embedded art, since it's part of the audio file
That's why I thought the name of the art you embedded could be anything.
I don't think it matters. Actually folder.jpg is used for NON-embedded artwork, that is a hidden file in some media folders. And you can embed PNG files too. Maybe even GIF's and BMP's too. I forget. But I know PNG's work for sure.