@bolong You can have the image "embedded" in each track as FLAC allows it, in fact you can put a different image in each track of a "disc". If you try any tagger (I use Tag Editor) you will see that and you can also delete the image for each track if you want. When you use a program like JRiver, Audirvana, Roon, ..... to play the files they can work in two ways: choosing the "folder / disc" image over the track image or the contrary.
If one the images is missing, they will choose the one that exists. And if there is no one, no image will appear.
Regarding your question: if you burn your CD (physical disc) as a real CD the tracks are transcoded to WAV and the images are not included in the process.