This program was able to find the few missing Artist art that remained and add that art to my local groove database. Only a few Artist art were still missing so I used a program called Groove Manager. If you're having any issues try hooking to wifi and then open the groove app and let it do it's thing. It seems the groove app isn't capable of, or allowed to, download the Artist art on a data connection, but it does work fine when on wifi. I never hook my phone to wifi because I have more data in my plan than I know what to do with so I use LTE exclusively. I then tried hooking the phone to my home wifi, and within a few seconds I started getting Artist art.
I then went to the phone, turned the setting back on and still nothing. I decided to turn on that setting on my computer groove app and within a few seconds I started getting Artist art. I did, however, turn on that setting on my phone, but still no Artist art. I tried the Groove app on my computer once, but didn't turn on the setting to 'Automatically retrieve and update missing album art and metadata' because I didn't want it to mess up my already perfect metadata. I have the exact same music on my phone as I do on my computer (copied from computer to phone via usb).
I have all the metadata and Album art setup perfectly using a program called mp3 tag. I was having a problem with the Groove app not adding any Artist art for any of my music on my Lumia 1520.