Hmm, looks like there isn't a setting. But, if you tag one file, it's easy to just click the "Remove Art" button before you apply the changes. And, if you look up a ton of tracks, you would just need to select all the tracks and click "Remove Art".

I think they figure the typical user would like the album art in the tag. Another cool feature that I actually like more is automatically displaying the album art even though it's not in the tag. It does a look up with the ID3 info and gets a art URL from the Guide. It then displays this in the media window. So, you have the art without having to put it in the tag.