You need to make sure that 1., the graphics are in a folder on your sd card, and 2., that you've changed the destination path in whatever program you're using to launch the games.
When Game Manager downloads covers, it places them in a folder called "Graphics" on my desktop. I created a folder titled "Cover Art" on the FAT 32 partition of my hdd where all my boot info is (it's like my SD). I then went into USBloaderGX, clicked "Settings", then "Destination Path" and changed all the cover art paths so that they led to my new "Cover Art" folder. Everytime I download new covers, I copy them from the "Graphics" folder on my desktop to the "Cover Art" folder on my FAT 32 partition.