I wondered as well. I've seen the cover art appear on the center screen, but not always. And it appears that the choice of image isn't always the same as what my phone would have displayed when playing the same music. It may be because the search routine doesn't always fully identify the music; there can be songs that appear in multiple instances (e.g. singles it was first released, original album, and possibly "best of" album).
And if volvo's Sensus system doesn't store this information, it will need to search via the internet again the next time you play the same music.