The deeper the better Gunnar ;-) From my experience wav files do not include artwork but there may be a workaround for this as you say by manually adding artwork to each track although you probably won't find every track's artwork. I have owned a pair of cdj 2000's for approx 3 years and always bought wav files but have have started to purchase aiff files from beatport recently as you don't have the pain in the ass job of renaming every track within rekordbox plus aiff files include artwork.
Probably didn't answer your question but maybe something to consider in the future.