It's just how apples iTunes works (rightly or wrongly).
Firstly, any music downloaded officially through iTunes will normally have a DRM (digital rights for media), protection applied to it, which only allows playback through another authorised IOS device (iPod, iPhone, iPad etc.)
So if you want to dump them onto an SD card, the DRM protection first needs removing. And there's plenty of good free software available to do this.
Secondly, as stated by others, iTunes doesn't embed a jpg thumbnail of the album art into the music file. The thumbnails are stored in separate hidden folders either in iTunes or on the IOS device itself. Therefore when you copy some tracks from iTunes onto an SD card, it won't by default have the image already imbedded.
If your music comes from others sources (CD rips, downloads etc), then usually you won't have to bother with removing the DRM protection, but will still need to embed the jpg thumbnail for the album art.
It's a really easy process and I have the freely distributed software to do this on my home PC (however I'm on holiday at the moment), but if anyone needs it when I get back home, just give me a shout.