I believe it will improve, but for the time being it's better to put MKVs inside folders with the covers. Otherwise thumbnails disappear when VLC is relaunched.
For anyone who would like to have an iTunes-like view of his/her MKV files, that is, with embedded DVD/BD covers:
In Linux there's only one app capable of ripping/converting your DVDs/BDs or DVD folders losslessly to MKV: MakeMKV. You can easily determine what part to include or omit (subtitles, audio, extra features, chapters). It takes around 15 minutes to rip a DVD. It's not open source, but free. Follow the (for buntus) easy instructions here:
http://www.makemkv.com/download/.
Then you need to install MKVtoolnix to embed the covers:
http://www.bunkus.org/videotools/mkvtoo ... loads.html. Look here as well for cover art guidelines:
http://matroska.org/technical/cover_art/index.html.
If you need extracting anything you can use this:
http://qt-apps.org/content/show.php/QMK ... ent=145071