Procedure:
0. under Options->Cover Art, ensure 'Save cover as separate files' is ticked and some non-local Cover Art Providers are selected
1. in the left-most panel, select a directory containing not yet classified audio files
2. right click->Load selected files
3. in middle panel, on Unclustered files, right click->Lookup
4. in the right-most panel, ensure the album is found and also its cover art image
5. select the whole album (CTRL-A), then Save

Expected output:
The directory containing the audio files selected in 1. now contains a cover.jpg or similar file.

Actual output:
No cover.jpg is present in the album directory.

Note: the coverart image is correctly loaded and present in the /tmp directory, e.g. as /tmp/picardwoxclakh.jpg