That's just a general way to associate pictures with files in Finder, right? If you ever move these movies somewhere else (not using Finder) then these artworks will never show up, I guess.
Matroska supports embedding of artworks, however, there is basically no program that reads this metadata from the mkv.
Apple's m4v seems to be the only format that allows convenient artwork and subtitle embedding, with support to view it and play it (in OS X at least).
Other common formats as mp4, still has no such widespread support, even if the container itself supports it. The recommended way is still to keep a subtitle as external file, and artwork in as external file, in the same folder as the mp4 is in. I thought there would be an accepted standard by now for movies with cross-wise OS support, but no... it's still a mess.