Some audio files may contain album art inside, but kdenlive always shows generic audio icon for imported sound clip. In Dolphin file manager it is possible to turn on previews for such files. It is done with audiothumbs-frameworks plugin. I think it will be better if we make the same behavior. And I think it is not difficult to implement. At least, I can provide link to how it is done in audiothumbs-framework in just one file: https://github.com/eplightning/audiothumbs-frameworks/blob/master/src/AudioThumbs.cpp
Thanks for your report, this has been improved in the last releases.