Actually, Apple changed the behavior in iTunes 7.0… if you use the new Get Album Art feature (and it’s successful), it only puts the Album Art into the external database.
If you drag art into the file, or change it in Get Info, it still gets shoved directly into the file metadata (like pre-7 iTunes)… and also gets put into the external database.
Not sure if this is a bug or intentional. The external image database is now necessary, due to the new (local only) Album Art views.