This isn't always the case. I have plenty of artists that just show up with one of the album covers. Still a neat feature when it does show a band picture
I think what's happening here is that some bands have an official band picture on iTunes. When that's the case, the music app uses that picture. Otherwise, it uses an album cover.
Personally, I'd like to be able to turn this feature off. I'd rather just see an album cover. A lot of these band pictures look alike.